<PAGE>
BARR ROSENBERG SERIES TRUST
237 PARK AVENUE
NEW YORK, NEW YORK 10017
1-800-447-3332 (ADVISER AND SELECT SHARES)
1-800-527-6026 (INSTITUTIONAL SHARES)
AUGUST 5, 1996
Barr Rosenberg Series Trust (the "Trust") is an open-end management
investment company offering the following three diversified portfolios with
different investment objectives and strategies: U.S. Small Capitalization
Series, International Small Capitalization Series and Japan Series. The Trust's
portfolios are referred to individually as a "Series" or a "Fund," and
collectively as the "Series" or the "Funds." Each Fund's investment manager is
Rosenberg Institutional Equity Management (the "Manager").
DOMESTIC EQUITY PORTFOLIO
The U.S. SMALL CAPITALIZATION SERIES seeks a total return greater than that
of the Russell 2000 Index through investment primarily in equity securities of
smaller companies which are traded principally in the markets of the United
States. The Fund is designed for long-term investors willing to assume
above-average risk in return for above-average capital growth potential.
INTERNATIONAL EQUITY PORTFOLIOS
The INTERNATIONAL SMALL CAPITALIZATION SERIES seeks a total return greater
than that of the Cazenove Rosenberg Global Smaller Companies Index excluding the
United States ("CRIEXUS") through investment primarily in equity securities of
smaller companies which are traded principally in markets outside of the United
States. The Fund is designed for long-term investors willing to assume
above-average risk in return for above-average capital growth potential.
The JAPAN SERIES seeks a total return greater than that of the Tokyo Stock
Price Index of the Tokyo Stock Exchange ("TOPIX") through investment in Japanese
securities, primarily in common stocks of Japanese companies traded in Japanese
markets. The Fund is designed for long-term investors willing to assume above-
average risk in return for above-average capital growth potential.
Each Fund offers three classes of shares: Institutional Shares, Adviser
Shares and Select Shares. Whether an investor is eligible to purchase
Institutional, Adviser or Select Shares generally depends on the amount invested
in a particular Fund and on whether the investor makes the investment in the
Fund directly or through a financial adviser. The classes differ primarily with
respect to (i) the level of Shareholder Service Fee and (ii) the level of
Distribution Fee borne by each class.
This Prospectus concisely describes the information which investors ought to
know before investing. Please read this Prospectus carefully and keep it for
further reference.
A Statement of Additional Information dated August 5, 1996 is available free
of charge by writing to Barr Rosenberg Funds Distributor, Inc., the Funds'
distributor (the "Distributor"), at 230 Park Avenue, New York, New York 10169 or
by telephoning 1-800-447-3332 (for Adviser and Select Share customers) and
1-800-527-6026 (for Institutional Share customers). The Statement, which
contains more detailed information about the Trust, has been filed with the
Securities and Exchange Commission and is incorporated by reference in this
Prospectus.
SHARES OF THE FUNDS ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, ANY FINANCIAL INSTITUTION, ARE NOT FEDERALLY INSURED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD OR ANY OTHER AGENCY,
AND INVOLVE RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION, NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED ON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
SHAREHOLDER TRANSACTION AND FUND EXPENSES..................................................................... 3
FINANCIAL HIGHLIGHTS.......................................................................................... 5
INVESTMENT OBJECTIVES AND POLICIES............................................................................ 7
GENERAL DESCRIPTION OF RISKS AND FUND INVESTMENTS............................................................. 10
INVESTMENT PERFORMANCE........................................................................................ 13
MANAGEMENT OF THE TRUST....................................................................................... 16
MULTIPLE CLASSES.............................................................................................. 24
PURCHASE OF SHARES............................................................................................ 25
RETIREMENT PLAN ACCOUNTS...................................................................................... 28
REDEMPTION OF SHARES.......................................................................................... 28
EXCHANGE OF FUND SHARES....................................................................................... 30
DETERMINATION OF NET ASSET VALUE.............................................................................. 31
DISTRIBUTIONS................................................................................................. 31
TAXES......................................................................................................... 32
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES.............................................................. 33
SHAREHOLDER INQUIRIES......................................................................................... 34
</TABLE>
2
<PAGE>
SHAREHOLDER TRANSACTION AND FUND EXPENSES
The estimated annual expenses of each of the Funds are set forth in the
following tables, the forms of which are prescribed by federal securities laws
and regulations.
SHAREHOLDER TRANSACTION EXPENSES
<TABLE>
<CAPTION>
ALL CLASSES
------------------------------------------------
INTERNATIONAL
U.S. SMALL SMALL CAP JAPAN
CAP SERIES SERIES SERIES
--------------- ----------------- ------
<S> <C> <C> <C>
Fund Reimbursement Fee -- Purchase
(as a percentage of amount purchased)*........................................... .25% .50% .50%
Fund Reimbursement Fee -- Redemption
(as a percentage of amount redeemed)*............................................ .25% .50% .50%
</TABLE>
- ------------------------
* Applies only with respect to certain cash purchases and redemptions. See
"Purchase of Shares" and "Redemption of Shares." Also, investors are charged
Fund Reimbursement Fees in connection with exchanges of Fund Shares. See
"Exchange of Fund Shares." Each Fund Reimbursement Fee is retained by the
Fund purchased or redeemed to defray the costs and expenses associated with
investing the proceeds of the sale of the Fund's shares in the case of
purchases, and the sale of the Fund's portfolio securities in the case of
redemptions.
ANNUAL FUND OPERATING EXPENSES
<TABLE>
<CAPTION>
OTHER TOTAL FUND
MANAGEMENT SHAREHOLDER EXPENSES OPERATING
FEE (AFTER SERVICE DISTRIBUTION (AFTER REIM- EXPENSES
WAIVER)(A) FEE FEE BURSEMENT)(B) (AFTER WAIVER)
--------------- ----------- ----------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
U.S. Small Cap Series...................... 0.80% None None 0.35% 1.15%
International Small Cap Series............. 0.00% None None 1.50% 1.50%
Japan Series............................... 0.00% None None 1.50% 1.50%
ADVISER SHARES
U.S. Small Cap Series...................... 0.80% 0.25% None 0.35% 1.40%
International Small Cap Series............. 0.00% 0.25% None 1.50% 1.75%
Japan Series............................... 0.00% 0.25% None 1.50% 1.75%
SELECT SHARES
U.S. Small Cap Series...................... 0.80% 0.25% 0.25% 0.35% 1.65%
International Small Cap Series............. 0.00% 0.25% 0.25% 1.50% 2.00%
Japan Series............................... 0.00% 0.25% 0.25% 1.50% 2.00%
</TABLE>
- ------------------------
(a)The Manager has agreed to reduce its management fee and bear certain expenses
until further notice in order to limit the total annual operating expenses
(which do not include nonrecurring account fees and extraordinary expenses)
of each class to the percentage of a Fund's total annual operating expenses
attributable to that class listed under Total Fund Operating Expenses above.
Absent such agreement by the Manager to waive its fee and bear such expenses,
management fees would be 0.90% for the U.S. Small Cap Series and Total Fund
Operating Expenses for the U.S. Small Cap Series would be 1.25% for
Institutional Shares, 1.50% for Adviser Shares and 1.75% for Select Shares
and management fees would be 1.00% for the Japan Series and Total Fund
Operating Expenses for the Japan Series would be 7.26% for Institutional
Shares, 7.51% for Adviser Shares and 7.76% for Select Shares. Absent such
agreement by the Manager to waive its fee and bear such expenses, management
fees would be 1.00% for the International Small Cap Series. Assuming average
daily net assets of the International Small Cap Series for the first year of
operations are $10,000,000, it is estimated that Total Fund Operating
Expenses for the International Small Cap Series for such fiscal year will be
3.73% for Institutional Shares, 3.98% for Adviser Shares and 4.23% for Select
Shares. See "Management of the Trust."
(b)For the U.S. Small Cap Series, Other Expenses are based on actual results for
Institutional Shares for the fiscal year ended March 31, 1996. Actual Other
Expenses for the Institutional Shares of the Japan Series for the fiscal year
ended March 31, 1996 were 6.26% and the percentages listed for the Japan
Series under Other Expenses above reflect expenses borne by the Manager
during such fiscal year. Assuming average daily net assets of the
International Small Cap Series for the first year of operations are
$10,000,000, it is estimated that actual Other Expenses for the International
Small Cap Series for such fiscal year will be 2.73% and the percentages
listed under Other Expenses above reflect estimated expenses that would be
borne by the Manager for such fiscal year.
3
<PAGE>
EXAMPLE:
<TABLE>
<CAPTION>
YOU WOULD
PAY THE
FOLLOWING
EXPENSES ON
A $1,000
INVESTMENT
ASSUMING
(1) 5%
ANNUAL
RETURN AND
(2)
YOU WOULD PAY THE FOLLOWING EXPENSES ON A $1,000 REDEMPTION
AT THE END
OF EACH
INVESTMENT ASSUMING (1) 5% ANNUAL RETURN AND (2) TIME
NO REDEMPTION: PERIOD:
-------------------------------------------------- -----------
1 3 5 10 1
YEAR YEARS YEARS YEARS YEAR
--- ----- ----- ----- ---
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
U.S. Small Cap Series.................................... 14 40 67 142 17
International Small Cap Series........................... 20 53 -- -- 23
Japan Series............................................. 20 53 86 183 23
ADVISER SHARES
U.S. Small Cap Series.................................... 17 48 82 170 19
International Small Cap Series........................... 23 61 -- -- 26
Japan Series............................................. 23 61 99 210 26
SELECT SHARES
U.S. Small Cap Series.................................... 19 56 92 197 22
International Small Cap Series........................... 25 69 -- -- 28
Japan Series............................................. 25 69 112 237 28
<CAPTION>
3 5 10
YEARS YEARS YEARS
----- ----- -----
<S> <C> <C> <C>
INSTITUTIONAL SHARES
U.S. Small Cap Series.................................... 42 71 146
International Small Cap Series........................... 56 -- --
Japan Series............................................. 56 93 190
ADVISER SHARES
U.S. Small Cap Series.................................... 50 85 174
International Small Cap Series........................... 64 -- --
Japan Series............................................. 64 107 217
SELECT SHARES
U.S. Small Cap Series.................................... 59 95 201
International Small Cap Series........................... 72 -- --
Japan Series............................................. 72 118 243
</TABLE>
The foregoing Examples assume the payment of a Fund Reimbursement Fee both
at the time of purchase and at the time of redemption even though such fees may
not be applicable (see "Purchase of Shares" and "Redemption of Shares").
THE PURPOSE OF THIS TABLE IS TO ASSIST IN UNDERSTANDING THE VARIOUS COSTS
AND EXPENSES OF THE FUNDS THAT ARE BORNE DIRECTLY OR INDIRECTLY BY HOLDERS OF
SHARES OF THE FUNDS. THE FIVE PERCENT ANNUAL RETURN AND THE EXPENSES USED IN THE
EXAMPLES ARE MANDATED BY THE SECURITIES AND EXCHANGE COMMISSION AND ARE NOT
REPRESENTATIONS OF PAST OR FUTURE PERFORMANCE OR EXPENSES; ACTUAL PERFORMANCE
AND/OR EXPENSES MAY BE MORE OR LESS THAN THOSE SHOWN.
4
<PAGE>
FINANCIAL HIGHLIGHTS
The following tables present per share financial information for the periods
listed for each Fund which had commenced operations prior to the date of this
Prospectus. Each of the Financial Highlights has been audited by Price
Waterhouse LLP, independent accountants. These statements should be read in
conjunction with the other audited financial statements and related notes which
are included in the Statement of Additional Information.
U.S. SMALL CAPITALIZATION SERIES
(For an Institutional Share outstanding throughout
each period, during which only one class of shares was offered)
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
------------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989(A)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value at beginning of
period.......................... $ 6.97 $ 7.36 $ 12.33 $ 12.04 $ 10.74 $ 10.70 $ 10.34 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
Income from Investment Operations
Net investment incomeSection... 0.03 0.01 0.08 0.13 0.11 0.09 0.08 0.11
Net realized and unrealized
gain on investments and
foreign currency.............. 2.34 0.78 1.28 2.31 1.53 0.05 0.67 0.23
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
Total investment
operations.................. 2.37 0.79 1.36 2.44 1.64 0.14 0.75 0.34
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
Distributions to shareholders
from:
Net investment income.......... (0.01) (0.08) (0.14) (0.10) (0.08) (0.07) (0.15) --
Net realized gain on
investments................... (1.73) (1.10) (6.19) (2.05) (0.26) (0.03) (0.24) --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
Total distributions.......... (1.74) (1.18) (6.33) (2.15) (0.34) (0.10) (0.39) --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
Net asset value at end of
period.......................... $ 7.60 $ 6.97 $ 7.36 $ 12.33 $ 12.04 $ 10.74 $ 10.70 $ 10.34
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
Total return(1).................. 35.69% 12.21% 12.83% 22.51% 15.79% 1.56% 7.37% 39.06%*
Net assets, end of period
(000)........................... $ 60,046 $ 56,910 $ 52,500 $ 69,458 $ 119,343 $ 171,942 $ 113,222 $ 57,058
Ratio of net expenses to average
daily net assets................ 0.90% 0.90% 0.90% 0.90% 0.90% 0.90% 0.90% 0.90%**
Ratio of net expenses to average
daily net assets before
reimbursement................... 1.15% 1.17% 1.14% 1.03% 0.94% 1.04% 1.06% 1.86%**
Ratio of net investment income to
average daily net assets........ 0.47% 0.60% 0.60% 0.59% 0.66% 1.22% 1.24% 10.10%**
Portfolio turnover rate.......... 71.87% 57.27% 59.61% 32.61% 59.04% 64.97% 60.10% 0.04%
</TABLE>
- ------------------------
(a)The Fund commenced operations on February 22, 1989.
Section
Net of fees and expenses waived or borne by the Manager which amounted to
$.02, $.01, $.05, $.03, $.01, $.01, $.01 and $.01 per share.
(1)Total return would have been lower had certain fees and expenses not been
waived.
* Not Annualized.
** Annualized.
5
<PAGE>
JAPAN SERIES
(For an Institutional Share outstanding throughout
each period, during which only one class of shares was offered)
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31
------------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989(A)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value at beginning of
period........................ $ 8.96 $ 8.25 $ 6.94 $ 6.15 $ 7.87 $ 8.23 $ 9.88 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
Income (loss) from Investment
Operations
Net investment income
(loss)Section............... 0.04 0.10 (0.01) 0.02 0.04 0.06 0.06 0.02
Net realized and unrealized
gain/(loss) on investments
and foreign currency........ (0.15) 0.63 1.41 0.84 (1.69) 0.09 (1.67) (0.14)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
Total investment
operations................ (0.11) 0.73 1.40 0.86 (1.65) 0.15 (1.61) (0.12)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
Distributions to shareholders
from:
Net investment income........ -- -- -- (0.07) (0.07) (0.07) (0.04) --
In excess of net investment
income...................... (0.08) (0.02) (0.09) -- -- -- -- --
Net realized gain on
investments................. -- -- -- -- -- (0.44) -- --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
Total distributions........ (0.08) (0.02) (0.09) (0.07) (0.07) (0.51) (0.04) --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
Net asset value at end of
period........................ $ 8.77 $ 8.96 $ 8.25 $ 6.94 $ 6.15 $ 7.87 $ 8.23 $ 9.88
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
Total return(1)................ (1.2%) 8.86% 20.35% 14.24% (21.09%) 1.94% (16.39%) (4.94%)*
Net assets, end of period
(000)......................... $ 1,378 $ 1,385 $ 1,258 $ 1,044 $ 915 $ 1,864 $ 1,829 $ 2,186
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ------
Ratio of net expenses to
average daily net assets...... 1.00% 1.00% 1.00% 0.70% 0.59% 0.02% 0.00% 0.28%**
Ratio of net expenses to
average daily net assets
before reimbursement.......... 7.16% 7.02% 7.63% 10.70% 8.56% 8.40% 7.35% 9.30%**
Ratio of net investment income
(loss) to average daily net
assets........................ (0.22%) (0.20%) (0.26%) 0.37% 0.20% 0.76% 0.62% 0.88%**
Portfolio turnover rate........ 60.60% 57.10% 74.60% 162.10% 53.13% 78.61% 87.72% 0.00%
</TABLE>
- ------------------------
(a)The Fund commenced operations on January 3, 1989.
Section
Net of fees and expenses waived or borne by the Manager which amounted to
$.38, $.67, $.49, $.59, $1.64, $.71, $.74 and $.21 per share.
(1)Total return would have been lower had certain fees and expenses not been
waived.
* Not Annualized.
** Annualized.
6
<PAGE>
INVESTMENT OBJECTIVES AND POLICIES
U.S. SMALL CAPITALIZATION SERIES
The investment objective of the U.S. Small Capitalization Series is to seek
total return greater than that of the Russell 2000 Index through investment
primarily in equity securities of smaller companies which are traded principally
in the markets of the United States. Total return is a combination of capital
appreciation and current income (dividend or interest). In the case of the Fund,
total return will be measured by changes in value of an investment over a given
period, assuming that any dividends or capital gains distributions are
reinvested in the Fund rather than paid to the investor in cash. The Fund does
not seek to MAXIMIZE total return but, as indicated above, seeks a total return
greater than that of the common stocks referred to above. Because the companies
in which the Fund invests typically do not distribute significant amounts of
company earnings to shareholders, the Fund's objective will place relatively
greater emphasis on capital appreciation than on current income. The Fund's
investment objective is non-fundamental and thus may be changed by the Trustees
without shareholder approval.
It is currently expected that, under normal circumstances, most of the
Fund's assets will be invested in common stocks of companies with total market
capitalization of less than $750 million ("small capitalization securities").
This corresponds with the defining range of market capitalization of companies
in the Russell 2000 Index. Investments in issuers of small capitalization
securities may present greater opportunities for capital appreciation because of
high potential earnings growth, but may also involve greater risk. See "General
Description of Risks and Fund Investments -- Companies with Small Market
Capitalizations" below.
To meet redemptions or pending investments in common stocks, the Fund may
also temporarily hold a portion of its assets not invested in small
capitalization securities in full faith and credit obligations of the United
States government (e.g., U.S. Treasury Bills) and in short-term notes,
commercial paper or other money market instruments of high quality (i.e., rated
at least "A-2" or "AA" by Standard & Poor's ("S&P") or Prime 2 or "Aa" by
Moody's Investors Service, Inc. ("Moody's")) issued by companies having an
outstanding debt issue rated at least "AA" by S&P or at least "Aa" by Moody's,
or determined by the Manager to be of comparable quality to any of the
foregoing. See also "General Description of Risks and Fund Investments -- Stock
Index Futures" below.
Also, the Fund may invest without limit in common stocks of foreign issuers
which are listed on a United States securities exchange or traded in the United
States in the OTC market. Investments in common stocks of foreign issuers may
involve certain special risks due to foreign economic, political and legal
developments. See "General Description of Risks and Fund Investments -- Special
Consideration of Foreign Investments" below. The Fund will not invest in
securities which are principally traded outside of the United States.
FUNDAMENTAL POLICIES. The Fund will normally invest most of its assets in
small capitalization securities, and it is a fundamental policy of the Fund,
which may not be changed without shareholder approval, that at least 65% of the
Fund's total assets will be invested in small capitalization securities.
INTERNATIONAL SMALL CAPITALIZATION SERIES
The investment objective of the International Small Capitalization Series is
to seek total return greater than the Cazenove Rosenberg Global Smaller
Companies Index excluding the United States ("CRIEXUS") through investment
primarily in equity securities (i) that are traded principally in securities
markets outside of
7
<PAGE>
the United States and (ii) that represent interests in companies currently with
market capitalizations of between $15 million and $1 billion at the time of
purchase by the Fund. Such companies are referred to herein as "small
capitalization companies." CRIEXUS is comprised of stocks of small
capitalization companies in mature markets. Total return is a combination of
capital appreciation and current income (dividend or interest). In the case of
the Fund, total return will be measured by changes in value of an investment
over a given period, assuming that any dividends or capital gains distributions
are reinvested in the Fund rather than paid to the investor in cash. The Fund
does not seek to MAXIMIZE total return but, as indicated above, seeks a total
return greater than that of the common stocks referred to above. Because the
companies in which the Fund invests typically do not distribute significant
amounts of company earnings to shareholders, the Fund's objective will place
relatively greater emphasis on capital appreciation than on current income. The
Fund's investment objective is non-fundamental and thus may be changed by the
Trustees without shareholder approval.
There are no prescribed limits on geographic asset distribution and the Fund
has the authority to invest in securities traded in securities markets of any
country in the world. It is currently expected that the Fund will invest in
approximately twenty different countries across three regions -- Europe, Pacific
and North America (excluding the United States). Under certain adverse
investment conditions, the Fund may restrict the number of securities markets in
which its assets will be invested, although under normal market circumstances,
the Fund's investments will involve securities principally traded in at least
three different countries. See "General Description of Risks and Fund
Investments -- Special Considerations of Foreign Investments" and "General
Description of Risks and Fund Investments -- Foreign Exchange Transactions"
below.
Under normal circumstances, at least 90% of the Fund's total assets will be
invested in common stocks of small capitalization companies. It is the
non-fundamental policy of the Fund to invest at least 65% of the Fund's total
assets in common stocks of small capitalization companies. Investments in such
companies may present greater opportunities for capital appreciation because of
high potential earnings growth, but may also involve greater risk. See "General
Description of Risks and Fund Investments -- Companies with Small Market
Capitalizations" below.
The Fund will not normally invest in securities of United States issuers
traded on United States securities markets.
JAPAN SERIES
The investment objective of the Japan Series is to seek total return greater
than that of the Tokyo Stock Price Index ("TOPIX") of the Tokyo Stock Exchange.
TOPIX is a capitalization weighted index of all stocks in the First Section of
the Tokyo Stock Exchange. Total return is a combination of capital appreciation
and current income (dividend or interest). The Fund will seek to meet this
objective primarily through investment in Japanese equity securities, primarily
in common stocks of Japanese companies. The Fund expects that any income it
derives will be from dividend or interest payments on securities. The Fund's
investment objective is non-fundamental and thus may be changed by the Trustees
without shareholder approval.
It is currently expected that, under normal circumstances, the Fund will
invest at least 90% of its assets in "Japanese Securities," that is, securities
issued by entities ("Japanese Companies") that are organized under the laws of
Japan and that either have 50% or more of their assets in Japan or derive 50% or
more of their revenues from Japan. While the Fund will invest primarily in
common stocks of Japanese Companies, it may
8
<PAGE>
also invest in other Japanese Securities, such as convertible preferred stock,
warrants or rights, as well as short-term government debt securities or other
short-term prime obligations (i.e., high quality debt obligations maturing not
more than one year from the date of issuance). See "General Description of Risks
and Fund Investments -- Foreign Exchange Transactions" below. The Fund will not
customarily purchase warrants or rights, although it may receive warrants or
rights through distributions on other securities it owns. In those cases, the
Fund expects to sell such warrants and rights within a reasonable period of time
following their distribution to the Fund. The Fund does not currently expect to
own warrants or rights with an aggregate value of greater than 5% of the Fund's
assets. Refer to the Statement of Additional Information for further information
with respect to the Fund's investments in warrants or rights.
The Fund currently intends to make its investments in Japanese equity
securities, principally in well-established Japanese Companies that have an
active market for their shares. Japanese Companies will be considered
well-established if they have been subject for at least two years to the
financial accounting rules for a company whose securities are traded on a
Japanese securities exchange. In the discretion of the Fund's management, the
balance of the Fund's investments may be in companies that do not meet all such
qualifications, although the nature of the market for the shares will always be
an important consideration in determining whether the Fund will invest in such
shares. The Fund anticipates that most Japanese equity securities in which it
will invest, either directly or indirectly (by means of convertible debentures),
will be listed on securities exchanges in Japan.
INDEX FUTURES. The Fund may also purchase futures contracts or options on
futures contracts on the Tokyo Stock Price Index ("TOPIX") or the NIKKEI 225
Index ("NIKKEI") for investment purposes. TOPIX futures are traded on the
Chicago Board of Trade and NIKKEI futures are traded on the Chicago Mercantile
Exchange. See "General Description of Risks and Fund Investments --Stock Index
Futures" below.
RISKS OF INVESTING IN JAPANESE SECURITIES. Unlike other mutual funds which
invest in the securities of many countries, the Fund will invest almost
exclusively in Japanese Securities. Generally, the Manager will not vary the
percentage of the Fund's assets which are invested in Japanese Securities based
on its assessment of Japanese economic, political or regulatory developments or
changes in currency exchange rates. However, the Manager reserves the right to
hedge against a possible decline in the Japanese Securities market by utilizing
futures and options on futures on Japanese stock indices as described above with
respect to 100% of the Fund's total assets.
Because a high percentage of the Fund asset's will be invested in Japanese
Securities, investment in the Fund will involve the general risks associated
with investing in foreign securities. See "General Description of Risks and Fund
Investments --Special Considerations of Foreign Investments" below. In addition,
investors will be subject to the market risk associated with investing almost
exclusively in stocks of companies which are subject to Japanese economic
factors and conditions. Since the Japanese economy is dependent to a significant
extent on foreign trade, the relationships between Japan and its trading
partners and between the yen and other currencies are expected to have a
significant impact on particular Japanese companies and on the Japanese economy
generally. The Fund is designed for investors who are willing to accept the
risks associated with changes in such conditions and relationships.
FUNDAMENTAL POLICIES. The Fund will normally invest at least 90% of its
total assets in Japanese Securities, and it is a fundamental policy of the Fund,
which may not be changed without shareholder approval, that at least 65% of the
Fund's total assets will be invested in Japanese Securities.
9
<PAGE>
GENERAL DESCRIPTION OF RISKS AND FUND INVESTMENTS
INVESTMENT RISKS. An investment in the Funds involves risks similar to
those of investing in common stocks directly. Just as with common stocks, the
value of Fund shares may increase or decrease depending on market, economic,
political, regulatory and other conditions affecting a Fund's portfolio. These
types of risks may be greater with respect to investments in securities of
foreign issuers. Investment in shares of the Funds is, like investment in common
stocks, more volatile and risky than some other forms of investment.
COMPANIES WITH SMALL MARKET CAPITALIZATIONS. As specified above, the U.S.
Small Capitalization Series and the International Small Capitalization Series
will invest a relatively high percentage of their assets in companies with
relatively small market capitalizations (generally, market capitalizations of
under $750 million for the U.S. Small Capitalization Series and under $1 billion
for the International Small Capitalization Series). Companies with small market
capitalizations may be dependent upon a single proprietary product or market
niche, may have limited product lines, markets or financial resources, or may
depend on a limited management group. Typically, such companies have fewer
securities outstanding, which may be less liquid than securities of larger
companies. Their common stock and other securities may trade less frequently and
in limited volume and are generally more sensitive to purchase and sale
transactions. Therefore, the prices of such securities tend to be more volatile
than the prices of securities of companies with larger market capitalizations.
As a result, the absolute values of changes in the price of securities of
companies with small market capitalizations may be greater than those of larger,
more established companies.
SPECIAL CONSIDERATIONS OF FOREIGN INVESTMENTS. Investing in foreign
securities (i.e., those which are traded principally in markets outside of the
United States) involves certain risks not typically found in investing in U.S.
domestic securities. These include risks of adverse change in foreign economic,
political, regulatory and other conditions, and changes in currency exchange
rates, exchange control regulations (including currency blockage), expropriation
of assets or nationalization, imposition of withholding taxes on dividend or
interest payments, and possible difficulty in obtaining and enforcing judgments
against foreign entities. Furthermore, issuers of foreign securities are subject
to different, and often less comprehensive, accounting, reporting and disclosure
requirements than domestic issuers. In certain countries, legal remedies
available to investors may be more limited than those available with respect to
investments in the United States or other countries. The laws of some foreign
countries may limit a Fund's ability to invest in securities of certain issuers
located in those countries. The securities of some foreign issuers and
securities traded principally in foreign securities markets are less liquid and
at times more volatile than securities of comparable U.S. issuers and securities
traded principally in U.S. securities markets. Foreign brokerage commissions and
other fees are also generally higher than those charged in the United States.
There are also special tax considerations which apply to securities of foreign
issuers and securities traded principally in foreign securities markets.
The risks of investing in foreign securities may be intensified in the case
of investments in emerging markets or countries with limited or developing
capital markets. Prices of securities of companies in emerging markets can be
significantly more volatile than prices of securities of companies in the more
developed nations of the world, reflecting the greater uncertainties of
investing in less developed markets and economies. In particular, countries with
emerging markets may have relatively unstable governments, present the risk of
nationalization of businesses, restrictions on foreign ownership, or
prohibitions of repatriation of assets, and may have less protection of property
rights than more developed countries. The economies of countries with emerging
markets may be predominantly based on only a few industries or dependent on
revenues from
10
<PAGE>
particular commodities or on international aid or development assistance, may be
highly vulnerable to changes in local or global trade conditions, and may suffer
from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond
effectively to increases in trading volume, potentially making prompt
liquidation of substantial holdings difficult or impossible at times.
Consequently, securities of issuers located in countries with emerging markets
may have limited marketability and may be subject to more abrupt or erratic
price movements. Also, such local markets typically offer less regulatory
protections for investors.
FOREIGN EXCHANGE TRANSACTIONS. The International Equity Portfolios of the
Trust (i.e., the International Small Capitalization Series and the Japan Series)
do not currently intend to hedge the foreign currency risk associated with
investments in securities denominated in foreign currencies. However, in order
to hedge against possible variations in foreign exchange rates pending the
settlement of securities transactions, the International Equity Portfolios
reserve the right to buy or sell foreign currencies or to deal in forward
foreign currency contracts; that is, to agree to buy or sell a specified
currency at a specified price and future date. The International Equity
Portfolios also reserve the right to invest in currency futures contracts and
related options thereon for similar purposes. For example, if the Manager
anticipates that the value of the yen will rise relative to the dollar, a Fund
could purchase a currency futures contract or a call option thereon or sell
(write) a put option to protect against an increase in the price of
yen-denominated securities such Fund intends to purchase. If the Manager
anticipates a fall in the value of the yen relative to the dollar, a Fund could
sell a currency futures contract or a call option thereon or purchase a put
option on such futures contract as a hedge. If the International Equity
Portfolios change their present intention and decide to utilize hedging
strategies, futures contracts and related options will be used only as a hedge
against anticipated currency rate changes (not for investment purposes) and all
options on currency futures written by a Fund will be covered. These practices,
if utilized, may present risks different from or in addition to the risks
associated with investments in foreign currencies.
STOCK INDEX FUTURES. A stock index futures contract (an "Index Future") is
a contract to buy an integral number of units of the relevant index at a
specified future date at a price agreed upon when the contract is made. A unit
is the value at a given time of the relevant index.
In connection with a Fund's investment in common stocks, a Fund may invest
in Index Futures while the Manager seeks favorable terms from brokers to effect
transactions in common stocks selected for purchase. A Fund may also invest in
Index Futures when the Manager believes that there are not enough attractive
common stocks available to maintain the standards of diversity and liquidity set
for the Fund pending investment in such stocks when they do become available.
Through the use of Index Futures, a Fund may maintain a portfolio with
diversified risk without incurring the substantial brokerage costs which may be
associated with investment in multiple issuers. This may permit a Fund to avoid
potential market and liquidity problems (e.g., driving up or forcing down the
price by quickly purchasing or selling shares of a portfolio security) which may
result from increases or decreases in positions already held by a Fund. Certain
provisions of the Internal Revenue Code may limit this use of Index Futures. A
Fund may also invest in Index Futures in order to hedge its equity positions.
In contrast to purchases of a common stock, no price is paid or received by
a Fund upon the purchase of a futures contract. Upon entering into a futures
contract, a Fund will be required to deposit with its custodian in a segregated
account in the name of the futures broker a specified amount of cash or
securities. This is known by
11
<PAGE>
participants in the market as "initial margin." The type of instruments that may
be deposited as initial margin, and the required amount of initial margin, are
determined by the futures exchange on which the Index Futures are traded. The
nature of initial margin in futures transactions is different from that of
margin in securities transactions in that futures contract margin does not
involve the borrowing of funds by the customer to finance the transactions.
Rather, the initial margin is in the nature of a performance bond or good faith
deposit on the contract which is returned to the Fund upon termination of the
futures contract, assuming all contractual obligations have been satisfied.
Subsequent payments, called "variation margin," to and from the broker, will be
made on a daily basis as the price of the particular Index fluctuates, making
the position in the futures contract more or less valuable, a process known as
"marking to the market."
A Fund may close out a futures contract purchase by entering into a futures
contract sale. This will operate to terminate the Fund's position in the futures
contract. Final determinations of variation margin are then made, additional
cash is required to be paid by or released to the Fund, and the Fund realizes a
loss or a gain.
A Fund's investment in Index Futures involves risk. Positions in Index
Futures may be closed out by a Fund only on the futures exchanges on which the
Index Futures are then traded. There can be no assurance that a liquid market
will exist for any particular contract at any particular time. The liquidity of
the market in futures contracts could be adversely affected by "daily price
fluctuation limits" established by the relevant futures exchange which limit the
amount of fluctuation in the price of an Index Futures contract during a single
trading day. Once the daily limit has been reached in the contract, no trades
may be entered into at a price beyond the limit. In such events, it may not be
possible for a Fund to close its futures contract purchase, and, in the event of
adverse price movements, a Fund would continue to be required to make daily cash
payments of variation margin. When the Fund has purchased a futures contract,
its risk is, however, limited to the amount of the contract. The futures market
may also attract more speculators than does the securities market, because
deposit requirements in the futures market are less onerous than margin
requirements in the securities market. Increased participation by speculators in
the futures market may also cause price distortions.
A Fund will not purchase Index Futures if, as a result, the Fund's initial
margin deposits on transactions that do not constitute "bona fide hedging" under
relevant regulations of the Commodities Futures Trading Commission would be
greater than 5% of the Fund's total assets. In addition to margin deposits, when
a Fund purchases an Index Future, it is required to maintain, at all times while
an Index Future is held by the Fund, cash, U.S. Government securities or other
high grade liquid debt obligations in a segregated account with its Custodian,
in an amount which, together with the initial margin deposit on the futures
contract, is equal to the current value of the futures contract.
ILLIQUID SECURITIES. Each Fund may purchase "illiquid securities," defined
as securities which cannot be sold or disposed of in the ordinary course of
business within seven days at approximately the value at which a Fund has valued
such securities, so long as no more than 15% of the Fund's net assets would be
invested in such illiquid securities after giving effect to the purchase.
Investment in illiquid securities involves the risk that, because of the lack of
consistent market demand for such securities, the Fund may be forced to sell
them at a discount from the last offer price.
PORTFOLIO TURNOVER. Portfolio turnover is not a limiting factor with
respect to investment decisions. Although the rate of portfolio turnover is very
difficult to predict, it is not anticipated that, under normal circumstances,
the annual portfolio turnover rate for each of the Funds will exceed 100%. In
any particular
12
<PAGE>
year, market conditions may well result in greater portfolio turnover rates than
are presently anticipated. The rate of a Fund's portfolio turnover may vary
significantly from time to time depending on the volatility of economic and
market conditions. High portfolio turnover involves correspondingly greater
brokerage commissions and other transaction costs, which will be borne directly
by a Fund, and could involve realization of capital gains that would be taxable
when distributed to shareholders of such Fund. To the extent portfolio turnover
results in the realization of net short-term capital gains, such gains
ordinarily are taxed to shareholders at ordinary income tax rates.
LOANS OF PORTFOLIO SECURITIES. Each Fund may lend some or all of its
portfolio securities to broker-dealers. Securities loans are made to
broker-dealers pursuant to agreements requiring that loans be continuously
secured by collateral in cash or U.S. Government securities at least equal at
all times to the market value of the securities lent. The borrower pays to the
lending Fund an amount equal to any dividends or interest received on the
securities lent. When the collateral is cash, the Fund may invest the cash
collateral in interest-bearing, short-term securities. When the collateral is
U.S. Government securities, the Fund usually receives a fee from the borrower.
Although voting rights or rights to consent with respect to the loaned
securities pass to the borrower, a Fund retains the right to call the loans at
any time on reasonable notice, and it will do so in order that the securities
may be voted by the Fund if the holders of such securities are asked to vote
upon or consent to matters materially affecting the investment. A Fund may also
call such loans in order to sell the securities involved. The risks in lending
portfolio securities, as with other extensions of credit, include possible delay
in recovery of the securities or possible loss of rights in the collateral
should the borrower fail financially. However, such loans will be made only to
broker-dealers that are believed by the Manager to be of relatively high credit
standing.
INVESTMENT POLICIES. Except for investment policies which are explicitly
described as fundamental, the investment policies of each of the Funds may be
changed without shareholder approval. In addition to the policies described in
this Prospectus, please see the Statement of Additional Information for a
statement of fundamental and non-fundamental policies of the Funds.
INVESTMENT PERFORMANCE
MANAGER'S DISCUSSION OF U.S. SMALL CAPITALIZATION SERIES PERFORMANCE
For the fiscal year ending March 31, 1996, the total return of the U.S.
Small Capitalization Series was 35.69% after deduction of fees and expenses,
more than 6 1/2 percentage points above the total return of the Russell 2000
Index. The Manager believes that the U.S. Small Capitalization Series' total
return was the result of an overall rise in the market combined with the
Manager's identification of undervalued U.S. small company stocks. In the last
fiscal year, the prices of the undervalued U.S. small company stocks selected by
the Manager generally rose towards the Manager's estimates of their fair value.
The U.S. Small Capitalization Series has built a diversified portfolio that
closely tracks the risk factor and industry profile of the Russell 2000 Index
while emphasizing companies that are selling at prices below the Manager's
estimates of their fair value. The total return of the U.S. Small Capitalization
Series has exceeded the total return of the Russell 2000 Index since inception
of the Fund as well as in the latest 3- and 5- year fiscal periods of the Fund.
13
<PAGE>
U.S. SMALL CAPITALIZATION SERIES
(BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY)(1)
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
SERIES(2) RUSSELL 2000
<S> <C> <C>
Feb-22-89 997,500 1,000,000
Mar-90 1,102,637 1,078,524
Mar-91 1,119,694 1,151,666
Mar-92 1,296,551 1,347,033
Mar-93 1,588,419 1,603,336
Mar-94 1,792,109 1,779,579
Mar-95 1,995,299 1,877,440
Mar-96 2,700,501 2,423,797
Past performance is not predictive of future
performance.
</TABLE>
(1) Based on minimum initial investment of $1,000,000 for Institutional Shares
less applicable Fund Reimbursement Fees. Note that the minimum initial
investment for Adviser Shares is $100,000 and for Select Shares is $10,000.
(2) Fund returns are net of all fees while the Russell 2000 Index returns are
based solely on market returns without deduction of fees or transaction
costs for rebalancing.
AVERAGE ANNUAL TOTAL RETURN (FOR PERIODS ENDED 3/31/96)
<TABLE>
<CAPTION>
SINCE INCEPTION
1 YEAR 3 YEARS 5 YEARS (2/22/89)
----------- ----------- ----------- ----------------
<S> <C> <C> <C> <C>
U.S. Small Capitalization Series (Institutional Shares)... 35.69% 19.45% 19.31% 15.14%
Russell 2000 Index........................................ 29.10% 14.77% 16.05% 13.31%
</TABLE>
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLE REPRESENT PAST
PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE PERFORMANCE.
14
<PAGE>
MANAGER'S DISCUSSION OF JAPAN SERIES PERFORMANCE
During the last fiscal year, the total return of the Japan Series after
deduction of fees and expenses was less than the total return of its Tokyo Stock
Price Index ("TOPIX") benchmark; however, the Series has outperformed the TOPIX
benchmark over the latest 3- and 5-year periods. Since inception in January
1989, the Japan Series has outperformed the TOPIX by an average of 1.66% per
year while matching the risk factor, industry, and capitalization
characteristics of the benchmark. The Japan Series maintains a diversified
portfolio of moderately undervalued securities identified by the Manager's
proprietary stock selection models.
Under normal circumstances, the Japan Series' investments in securities will
be in yen-denominated securities, thus its value in U.S. dollars depends on
prevailing exchange rates. During the last fiscal year, the Yen depreciated by
more than 20%, offsetting the overall rise in the Japanese equity market. Since
the inception of the Japan Series, the yen has appreciated almost 15%.
JAPAN SERIES
(BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY)(1)
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
JAPAN SERIES(2) TOPIX
<S> <C> <C>
Mar-89 978,185 992,688
Mar-90 817,691 758,647
Mar-91 832,615 757,719
Mar-92 657,098 580,196
Mar-93 750,827 684,625
Mar-94 903,759 844,670
Mar-95 983,657 840,278
Mar-96 966,954 865,328
Past performance is not predictive of future
performance.
</TABLE>
(1) Based on minimum initial investment of $1,000,000 for Institutional Shares
less applicable Fund Reimbursement Fees. Note that the minimum initial
investment for Adviser Shares is $100,000 and for Select Shares is $10,000.
(2) Fund returns are net of all fees while the TOPIX returns are based solely
on market returns without deduction of fees or transaction costs for
rebalancing.
15
<PAGE>
AVERAGE ANNUAL TOTAL RETURN (FOR PERIODS ENDED 3/31/96)
<TABLE>
<CAPTION>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (1/3/89)
--------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
Japan Series (Institutional Shares)........................... -1.20% 8.98% 3.14% -0.32%
TOPIX......................................................... 2.98% 8.12% 2.69% -1.98%
</TABLE>
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLE REPRESENT PAST
PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE PERFORMANCE.
MANAGEMENT OF THE TRUST
Each Fund is advised and managed by Rosenberg Institutional Equity
Management (the "Manager") which provides investment advisory services to a
substantial number of institutional investors.
KEY PERSONNEL OF THE MANAGER
The biography of each of the General Partners of the Manager, each of whom
is also a Trustee of the Trust, is set forth below.
BARR ROSENBERG. Dr. Rosenberg is Managing General Partner and Chief
Investment Officer for the Manager. As such, he has ultimate responsibility for
the Manager's securities valuation and portfolio optimization systems used to
manage the Funds and for the implementation of the decisions developed therein.
His area of special concentration is the design of the Manager's proprietary
securities valuation model.
Dr. Rosenberg earned a B.A. degree from the University of California,
Berkeley, in 1963. He earned an M.Sc. from the London School of Economics in
1965, and a Ph.D. from Harvard University, Cambridge, Massachusetts, in 1968.
From 1968 until 1983, Dr. Rosenberg was a Professor of Finance, Econometrics,
and Economics at the School of Business Administration at the University of
California, Berkeley. Concurrently, from 1968 until 1974, Dr. Rosenberg worked
as a consultant in applied decision theory in finance, banking, and medicine. In
1975, he founded Barr Rosenberg Associates, a financial consulting firm (now
know as BARRA) where he was a managing partner, and later chief scientist. Dr.
Rosenberg, the founder of the Berkeley Program in Finance, is acknowledged as an
expert in the modeling of complex processes with substantial elements of risk.
MARLIS S. FRITZ. Ms. Fritz is a General Partner for the Manager. She has
primary responsibility for the Manager's new business development and secondary
responsibility for client service.
Ms. Fritz earned a B.S. degree from the University of Michigan, Ann Arbor,
in 1971. After working in life insurance management and sales for seven years,
she entered the investment management business in 1978 as Marketing Associate
with Forstmann-Leff Associates, New York. From 1983 until 1985, she was Vice
President, Marketing at Criterion Investment Management Company, Houston, Texas.
KENNETH REID. Dr. Reid is a General Partner and Director of Research for
the Manager. His work is focused on the design and estimation of the Manager's
valuation models and he has primary responsibility for analyzing the empirical
evidence that validates and supports the day-to-day recommendations of the
Manager's securities valuation models. Patterns of short-term price behavior
discussed by Dr. Reid as part of his Ph.D. dissertation have been refined and
incorporated into the Manager's proprietary valuation and trading systems.
16
<PAGE>
Dr. Reid earned both a B.A. degree (1973) and an M.D.S. (1975) from Georgia
State University, Atlanta. In 1982, he earned a Ph.D. from the University of
California, Berkeley, where he was awarded the American Bankers Association
Fellowship. From 1981 until June 1986, Dr. Reid worked as a consultant at BARRA
in Berkeley, California. His responsibilities included estimating
multiple-factor risk models, designing and evaluating active management
strategies, and serving as an internal consultant on econometric matters in
finance.
There are 38 professional staff members of the Manager and the Manager's
affiliate, Barr Rosenberg Investment Management, Inc., located in Orinda,
California. Included among the Manager's professional staff are eight
individuals with Ph.D.s and twenty-three individuals with other graduate
degrees. Five members of the staff have been awarded C.F.A. certificates.
THE OUTSIDE TRUSTEES
William F. Sharpe and Nils H. Hakansson are Trustees of the Trust who are
not "interested persons" (as defined in the Investment Company Act of 1940, as
amended) of the Trust or the Manager.
Dr. Sharpe is the STANCO 25 Professor of Finance at Stanford University's
Graduate School of Business. He is best known as one of the developers of the
Capital Asset Pricing Model, including the beta and alpha concepts used in risk
analysis and performance measurement. He developed the widely-used binomial
method for the valuation of options and other contingent claims. He also
developed the computer algorithm used in many asset allocation procedures. Dr.
Sharpe has published articles in a number of professional journals. He has also
written six books, including PORTFOLIO THEORY AND CAPITAL MARKETS, (McGraw-Hill,
1970), ASSET ALLOCATION TOOLS, (Scientific Press, 1987), FUNDAMENTALS OF
INVESTMENTS (with Gordon J. Alexander and Jeffery Bailey, Prentice-Hall, 1993)
and INVESTMENTS (with Gordon J. Alexander and Jeffery Bailey, Prentice-Hall,
1995). Dr. Sharpe is a past President of the American Finance Association. He
has also served as consultant to a number of corporations and investment
organizations. He is also a member of the Board of Trustees of Smith Breeden
Trust, an investment company, and a director at CATS Software and Stanford
Management Company. He received the Nobel Prize in Economic Sciences in 1990.
Professor Hakansson is the Sylvan C. Coleman Professor of Finance and
Accounting of the Haas School of Business, University of California, Berkeley.
He is a former member of the faculty at UCLA as well as at Yale University. At
Berkeley, he served as Director of the Berkeley Program in Finance (1988-1991)
and as Director of the Professional Accounting Program (1985-1988). Professor
Hakansson is a Certified Public Accountant and spent three years with Arthur
Young & Company prior to receiving his Ph.D from UCLA in 1966. He has twice been
a Visiting Scholar at Bell Laboratories in New Jersey and was, in 1975, the
Hoover Fellow at the University of New South Wales in Sydney and, in 1982, the
Chevron Fellow at Simon Fraser University in British Columbia. In 1984,
Professor Hakansson was a Special Visiting Professor at the Stockholm School of
Economics, where he was also awarded an honorary doctorate in economics. He is a
past president of the Western Finance Association (1983-1984). Professor
Hakansson has published numerous articles in academic journals and in
professional volumes. Many of his papers address various aspects of asset
allocation procedures as well as topics in securities innovation, information
economics, and financial reporting. He has served on the editorial boards of
several professional journals and been a consultant to the RAND Corporation and
a number of investment organizations. Professor Hakansson is a member of the
board of two foundations and a past board member of SuperShare Service
Corporation and of Theatrix Interactive, Inc. He is also a Fellow of the
Accounting Researchers International Association and a member of the Financial
Economists Roundtable.
17
<PAGE>
THE MANAGER'S GENERAL INVESTMENT PHILOSOPHY AND STRATEGY
The Manager attempts to add value relative to the designated benchmark
through a quantitative stock selection process, and seeks to diversify
investment risk across the several hundred holdings in each Fund. In seeking to
outperform each Fund's designated benchmark, the Manager also attempts to
control risk in the Fund's portfolio relative to the securities constituting
that benchmark. So that each Fund is substantially invested in equities at all
times, the Manager does not earn the extraordinary return, or "alpha," by timing
the market. The Manager seeks to avoid constructing portfolios that
significantly differ from the relevant benchmark with respect to characteristics
such as market capitalization, historic volatility, or "beta," and industry
weightings. Each Fund seeks to have a similar exposure to these factors as the
designated benchmark.
INVESTMENT PHILOSOPHY. The Manager's investment strategy is based on the
belief that stock prices imperfectly reflect the present value of the expected
future earnings of companies, their "fundamental value." The Manager believes
that market prices will converge towards fundamental value over time, and that
therefore, any investor who can accurately determine fundamental value, and who
applies a disciplined investment process to select those stocks that are
currently undervalued (i.e., the price is less than fundamental value), will
outperform the market over time.
The premise of the Manager's investment philosophy is that there is a link
between the price of a stock and the underlying financial and operational
characteristics of the company. In other words, the price reflects the market's
assessment of how well the company is positioned to generate future earnings
and/or future cash flow. The Manager identifies and purchases those stocks which
are undervalued (i.e., they are currently cheaper than similar stocks with the
same characteristics). The Manager believes that the market will recognize the
"better value" and that the mispricing will be corrected as the stocks in the
Funds' portfolios are purchased by other investors.
Determination of the relative valuation of a stock is based upon a
comparison of similar companies. In any group of similar companies, it is the
Manager's view that there are always some that are overvalued, some that are
undervalued, and some that are fairly-valued relative to the average valuation
for the group. These moderate valuation errors are believed to be present in
every sector of the market and can be identified through rigorous quantitative
analysis of fundamental data.
In determining whether or not a stock is attractive, the Manager considers
the company's current estimated fundamental value as determined by the Manager's
proprietary Appraisal Model, the company's future earnings, and investor
sentiment toward the stock. The Manager identifies and causes a Fund to purchase
an undervalued stock and to hold it in the relevant Fund's portfolio until the
market recognizes and corrects for the misvaluation. The Funds' portfolios are
composed of undervalued stocks from every sector represented in the relevant
Fund's benchmark, with a typical portfolio consisting of several hundred stocks.
DECISION PROCESS. The Manager's decision process is a continuum. Its
research function develops Models which analyze the 12,000 securities in the
global universe, both fundamentally and technically, and determines the risk
characteristics of the relevant Fund's benchmark. The portfolio management
function optimizes each portfolio's composition, executes trades, and monitors
performance and trading costs.
The essence of the Manager's approach is rigorous attention to important
aspects of the investment process. Factors crucial to successful stock selection
include: (1) accurate and timely data on a large universe of
18
<PAGE>
companies; (2) subtle quantitative descriptors of value and predictors of
changes in value; and (3) insightful definitions of similar businesses. The
Manager takes great care assimilating, checking and structuring the input data
on which its Models rely. The Manager believes that if the data is correct, the
recommendations made by the system will be sound.
STOCK SELECTION. Fundamental valuation of stocks is key to the Manager's
investment process, and the heart of the valuation process lies in the Manager's
proprietary Appraisal Model. Analysis of companies in the United States and
Canada is conducted in a single unified Model. The Appraisal Model discriminates
where the two markets are substantially different, while simultaneously
comparing companies in the two markets according to their degrees of similarity.
European companies and Asian companies (other than Japanese companies) are
analyzed in a nearly global Model, which includes the United States and Canada
as a further basis for comparative valuation, but which excludes Japan. Japanese
companies are analyzed in an independent national Model. The Model incorporates
the various accounting standards which apply in different markets and makes
adjustments to ensure meaningful comparisons.
An important feature of the Appraisal Model is the classification of
companies into one or more of 166 groups of "similar" businesses. Currently, in
the United States, 160 groups are applicable; in Japan, 122 groups are
applicable; and in Europe, 154 groups are applicable. Each company is broken
down into its individual business segments, and each segment is compared with
similar business operations of other companies doing business in the same
geographical market. In most cases, the comparison is extended to include
companies with similar business operations in different markets. Subject to the
availability of data in different markets, the Manager appraises the company's
assets, operating earnings and sales within each business segment, accepting the
market's valuation of that category of business as fair. The Manager then
integrates the segment appraisals into balance sheet, income statement, and
sales valuation models for the total company, and simultaneously adjusts the
segment appraisals to include appraisals for variables which are declared only
for the total company, such as taxes, capital structure, and pension funding.
The result is a single valuation for each of the 12,000 companies followed.
The difference between the Manager's appraisal and the market price is
believed to represent an opportunity for profit. For each stock, the Manager
develops "appraisal alphas" (i.e., the expected rate of extraordinary return) by
adjusting for the rate at which the market has corrected for such misvaluations
in the past.
A second sphere of analysis is captured by the Manager's proprietary
Earnings Change Model, which analyzes more than 20 variables to predict
individual company earnings over a one year horizon. The variables are
fundamental and fall into three categories: measures of past profitability,
measures of company operations and consensus earnings forecasts. The Earnings
Change Model is independent of the Appraisal Model and projects the change in a
company's earnings in cents/current price. The value of the projected earnings
change is converted to an "earnings change alpha" by multiplying the projected
change by the market's historical response to changes of that magnitude.
Finally, the Manager's proprietary Investor Sentiment Model quantifies
investor sentiment about features of stocks which influence price but which are
not captured by the Appraisal Model or the Earnings Change Model. This Model
measures company quality by looking at past price patterns and by predicting the
probability of deficient earnings. The Investor Sentiment Model also captures
market enthusiasm towards individual stocks by looking at broker recommendations
and analyst estimates. Investor sentiment alphas are developed by multiplying
the Model's sentiment scores by the market's historical response to such scores.
19
<PAGE>
Each company's earnings change alpha and investor sentiment alpha is added
to its appraisal alpha to arrive at a total company alpha. Stocks with large
positive total company alphas are candidates for purchase. Stocks held in a
portfolio with total company alphas that are only slightly positive, zero or
negative are candidates for sale.
Before trading, the Manager systematically analyzes the short-term price
behavior of individual stocks to determine the timing of trades. The Investor
Sentiment Model quantifies investor enthusiasm for each stock by analyzing its
short-term performance relative to similar stocks, changes in analyst and broker
opinions about the stock, and earnings surprises. The Manager develops a
"trading alpha" for each stock (i.e., the expected short-term extraordinary
return) which is designed to enable the Funds to purchase stocks from supply and
to sell stocks into demand, greatly reducing trading costs.
OPTIMIZATION. The Manager's portfolio optimization system seeks to optimize
the trade-off between risk and reward relative to each Fund's benchmark. It
exploits the information developed by the Manager's stock selection Models to
maximize return relative to the benchmark, while avoiding a portfolio with
exposure to any other extraneous factors that would distinguish the Fund's
portfolio from the stocks constituting the relevant benchmark. Within the
geographic zone appropriate for each Fund, the optimizer recommends positions in
companies which in aggregate constitute the most efficient portfolio. The
optimizer simultaneously considers total company alphas, trading alphas, and
risk and quantifies the expected "net benefit" to the portfolio of each
recommended transaction. A stock is considered for sale when a higher alpha
stock with complementary risk characteristics has been identified. No
transaction will be executed unless the opportunity offered by the purchase
candidate sufficiently exceeds the potential of an existing holding to justify
the transaction costs. In most markets, portfolios are reoptimized continuously
throughout the day, allowing the Manager to respond immediately to investment
opportunities, subject to certain limitations on short-term trading applicable
by virtue of each Fund's intention to qualify as a regulated investment company
under the Internal Revenue Code.
TRADING. The Manager's trading system aggregates the recommended
transactions for each of the Funds and determines the feasibility of each
recommendation in light of the stock's liquidity, the expected transaction
costs, and general market conditions. It relays target price information to a
trader for each stock considered for purchase or sale. Trades are executed
through any one of four trading strategies: traditional brokerage, networks,
accommodation, and package or "basket" trades.
The network arrangements the Manager has developed with Instinet Matching
System (IMS), Portfolio System for Institutional Trading (POSIT), and the
Arizona Stock Exchange (AZX) facilitate large volume trading with little or no
price disturbance and low commission rates.
Accommodative trading (which we also refer to as the Manager's "match
system") allows institutional buyers and sellers of stock to electronically
present the Manager with their "interest" lists each morning. Any matches
between the inventory which the brokers have presented and the Manager's own
recommended trades are signaled to the Manager's traders. Since the broker is
doing agency business and has a client on the other side of the trade, the
Manager expects that the other side will be accommodative in the price. The
Manager's objective in using this match system is to execute most trades on the
Manager's side of the bid/ask spread so as to minimize market impact.
Package trades further allow the Manager to trade large lists of orders
simultaneously using state of the art tools such as the Instinet Real-Time
System, Instinet Order Matching System and Lattice Trading System.
20
<PAGE>
Those tools provide order entry, negotiation and execution capabilities, either
directly to other institutions or electronically to the floor of the exchange.
The advantages of using such systems include speed of execution, low
commissions, anonymity and very low market impact.
The Manager continuously monitors trading costs to determine the impact of
commissions and price disturbance on the Funds' portfolios.
INDIVIDUALS RESPONSIBLE FOR EACH FUND
Each of the following General Partners of the Manager holds a greater than
5% interest in the Manager: Marlis S. Fritz and Kenneth Reid. Rosenberg Alpha
L.P., a California limited partnership, is a limited partner of the Manager and
holds a greater than 5% interest in the Manager. Barr M. Rosenberg, the Managing
General Partner of the Manager, and his wife, June Rosenberg, each holds a
greater than 5% general partnership interest in Rosenberg Alpha L.P.
Management of the portfolio of each Fund is overseen by the Manager's
General Partners who are responsible for design and maintenance of the Manager's
portfolio system, and by a portfolio manager who is responsible for research and
monitoring each Fund's characteristic performance against the relevant benchmark
and for monitoring cash balances.
U.S. SMALL CAPITALIZATION SERIES. Dr. Rosenberg, Dr. Reid and Floyd
Coleman, the portfolio manager, are responsible for the day-to-day management of
the U.S. Small Capitalization Series' portfolio. Dr. Rosenberg and Dr. Reid both
have been employed by the Manager for the past eleven years. Mr. Coleman has
been a trader and portfolio manager for the Manager since 1988. He received a
B.S. from Northwestern University in 1982, a M.S. from Polytechnic Institute,
Brooklyn in 1984 and a M.B.A. from Harvard Business School in 1988.
JAPAN SERIES. Dr. Rosenberg, Dr. Reid, and Cheng S. Liao, the portfolio
manager, are responsible for the day-to-day management of the Japan Series'
portfolio. Mr. Liao has been a senior research associate, programmer and
portfolio manager, specializing in the Japanese market with the Manager since
1989. Mr. Liao has also been a trader for the Manager in Japanese securities
since 1994. He received a B.S. from Tohobu University, Japan, in 1984, a M.S.
from Stanford University in 1986, and a M.S. in Computer Science from
Polytechnic Institute, New York in 1988.
INTERNATIONAL SMALL CAPITALIZATION SERIES. Dr. Rosenberg, Dr. Reid and
Joseph Leung, the portfolio manager, are responsible for the day-to-day
management of the International Small Capitalization Series' portfolio. Mr.
Leung has been a senior research associate, programmer and portfolio manager
with the Manager since 1993. He received a B.S. and a B.A. from Queen's
University, Ontario, Canada in 1989 and a M.B.A. from the University of Chicago
in 1993.
MANAGEMENT CONTRACTS
Under separate Management Contracts with the Trust on behalf of each Fund,
the Manager selects and reviews each Fund's investments and provides executive
and other personnel for the management of the Trust. Pursuant to the Trust's
Agreement and Declaration of Trust, the Board of Trustees supervises the affairs
of the Trust as conducted by the Manager. In the event that the Manager ceases
to be the manager of a Fund, the right of the Trust to use the identifying name
"Barr Rosenberg" and/or "Rosenberg" may be withdrawn.
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<PAGE>
The organizational expenses of the U.S. Small Capitalization Series and the
Japan Series were borne by the Manager and such expenses of the International
Small Capitalization Series will be borne by the Manager. Each Fund will pay all
other expenses incurred in the operation of such Fund, including, but not
limited to, brokerage commissions and transfer taxes in connection with the
Fund's portfolio transactions, all applicable taxes and filing fees,
distribution fees, shareholder servicing fees, the fees and expenses for
registration or qualification of its shares under the federal or state
securities laws, the compensation of trustees who are not partners, officers or
employees of the Manager, interest charges, expenses of issue or redemption of
shares, charges of custodians, auditing and legal expenses, expenses of
determining net asset value of Fund shares, reports to shareholders, expenses of
meetings of shareholders, expenses of printing and mailing prospectuses, proxy
statements and proxies to existing shareholders, insurance premiums and
professional association dues or assessments.
In addition, each Fund has agreed to pay the Manager a quarterly management
fee at the annual percentage rate of the relevant Fund's average daily net
assets set forth below. The Manager has agreed to voluntarily waive some or all
of its management fee and, if necessary, to bear certain expenses of each Fund
until further notice to the extent required to limit the total annual operating
expenses (which do not include nonrecurring account fees and extraordinary
expenses) of each class of shares to the percentage of each Fund's average daily
net assets attributable to that class listed in the Expense Limitation column
below.
<TABLE>
<CAPTION>
CONTRACTUAL
MANAGEMENT FEE (AS
A % OF AVERAGE EXPENSE LIMITATION
DAILY NET (AS A % OF AVERAGE
ASSETS) (A) DAILY NET ASSETS)
------------------- -------------------
<S> <C> <C>
INSTITUTIONAL SHARES
U.S. Small Capitalization Series.......................................... .90% 1.15%
Japan Series.............................................................. 1.00% 1.50%
International Small Capitalization Series................................. 1.00% 1.50%
ADVISER SHARES
U.S. Small Capitalization Series.......................................... .90% 1.40%
Japan Series.............................................................. 1.00% 1.75%
International Small Capitalization Series................................. 1.00% 1.75%
SELECT SHARES
U.S. Small Capitalization Series.......................................... .90% 1.65%
Japan Series.............................................................. 1.00% 2.00%
International Small Capitalization Series................................. 1.00% 2.00%
</TABLE>
- ------------------------
(a)During the fiscal year ended March 31, 1996, the Management Fee actually paid
was 0.55% of average daily net asset for the U.S. Small Capitalization Series
and 0.00% of average daily net assets for the Japan Series. The International
Small Capitalization Series had not yet commenced operations.
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
Furman Selz LLC ("Furman Selz" or the "Administrator"), a Delaware limited
liability company with its principal place of business at 230 Park Avenue, New
York, New York 10169, serves as the Trust's administrator and generally assists
the Trust in all aspects of its administration and operation. As compensation
for its administrative services, Furman Selz receives a monthly fee based upon
an annual percentage rate of 0.15% of the aggregate average daily net assets of
the Funds plus an annual fee of $30,000 for each Fund.
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<PAGE>
Furman Selz has also entered into an agreement with the Trust for the
provision of transfer agency services (and is referred to herein as the
"Transfer Agent" in such capacity) and dividend disbursing services for the
Funds. The principal business address of the Transfer Agent is 230 Park Avenue,
New York, New York 10169.
On June 28, 1996, Furman Selz and BISYS Group, Inc. ("BISYS") announced a
definitive agreement which provides for Furman Selz to transfer its mutual fund
clients to BISYS. This transaction is expected to close on or before September
30, 1996. BISYS, headquartered in Little Falls, New Jersey, supports more than
5,000 financial institutions and corporate clients through two strategic
business units. BISYS Information Services Group designs, administers and
distributes over 30 families of proprietary mutual funds consisting of more than
365 portfolios, and provides 401(k) marketing support, administration, and
recordkeeping services in partnership with 18 of the nation's leading bank and
investment management companies. It is expected that BISYS and its affiliates
will serve in Furman Selz' current capacity as Administrator and Transfer Agent
for the Funds on and after the closing of the transaction.
State Street Bank and Trust Company (the "Custodian") serves as custodian of
the assets of the Funds. The principal address of the Custodian is Mutual Funds
Division, Boston, Massachusetts 02102.
A further discussion of the terms of the Trust's administrative, custody and
transfer agency arrangements is contained in the Statement of Additional
Information.
DISTRIBUTOR
Adviser and Select Shares of each Fund are sold on a continuous basis by the
Company's distributor, Barr Rosenberg Funds Distributor, Inc. (the
"Distributor"), a wholly-owned subsidiary of Furman Selz. It is expected that
the Distributor will become a wholly-owned subsidiary of BISYS upon the closing
of the above-referenced transaction. The Distributor's principal offices are
located at 230 Park Avenue, New York, New York 10169. Institutional Shares are
purchased directly from the Funds.
Solely for the purpose of compensating the Distributor for services and
expenses primarily intended to result in the sale of Select Shares of the Funds,
such shares are subject to an annual Distribution Fee of up to 0.50% of the
average daily net assets attributable to such shares in accordance with a
Distribution Plan (the "Distribution Plan") adopted by the Trust pursuant to
Rule 12b-1 under the 1940 Act. Currently, each Fund pays the Distributor an
annual Distribution Fee of 0.25% of the Fund's average daily net assets
attributable to Select Shares. Activities for which the Distributor may be
reimbursed include (but are not limited to) the development and implementation
of direct mail promotions and advertising for the Funds, the preparation,
printing and distribution of prospectuses for the Funds to recipients other than
existing shareholders, and contracting with one or more wholesalers of the
Funds' shares. The Distribution Plan for Select Shares went into effect on
August 5, 1996. The Distribution Plan is of the type known as a "compensation"
plan. This means that, although the trustees of the Trust are expected to take
into account the expenses of the Distributor in their periodic review of the
Distribution Plan, the fees are payable to compensate the Distributor for
services rendered even if the amount paid exceeds the Distributor's expenses.
The Distributor may also provide (or arrange for another intermediary or
agent to provide) personal and/ or account maintenance services to Adviser and
Select shareholders of the Funds (the Distributor or such entity
23
<PAGE>
is referred to as a "Servicing Agent" in such capacity). A Servicing Agent will
be paid some or all of the Shareholder Servicing Fees charged with respect to
Adviser and Select Shares of the Funds pursuant to Servicing Plans for such
shares.
MULTIPLE CLASSES
As indicated previously, the Funds offer three classes of shares to
investors, with eligibility generally depending on the amount invested in the
particular Fund and whether the investor makes the investment directly or
through a financial adviser. The three classes of shares are Institutional
Shares, Adviser Shares and Select Shares. Each class of shares is generally
subject to a Fund Reimbursement Fee at the time of purchase and at the time of
redemption, although certain exceptions apply. The following table sets forth
basic investment and fee information for each class.
<TABLE>
<CAPTION>
MINIMUM ANNUAL ANNUAL
FUND SUBSEQUENT METHOD OF SHAREHOLDER DISTRIBUTION
NAME OF CLASS INVESTMENT* INVESTMENTS* INVESTMENT* SERVICE FEE FEE
- ------------------------------ ----------- ------------ ------------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Institutional................. $ 1 million $ 10,000 Direct None None
Adviser....................... $ 100,000 $ 1,000 Financial Adviser .25% None
Select........................ $ 10,000 $ 500 Direct .25% .25%
</TABLE>
- ------------------------
* Certain exceptions apply. See "Institutional Shares", "Adviser Shares" and
"Select Shares" below."
The offering price is based on the net asset value per share next determined
after an order is received. Generally, a separate Fund Reimbursement Fee applies
to both purchases and redemptions of all classes, although certain exceptions
apply. See "Purchase of Shares" and "Redemption of Shares."
INSTITUTIONAL SHARES
Institutional Shares may be purchased by endowments, foundations and plan
sponsors of 401(a), 401(k), 451 and 403(b) plans and by individuals. In order to
be eligible to purchase Institutional Shares, an institution, plan or individual
must make an initial investment of at least $1 million in the particular Fund.
In its sole discretion, the Manager may waive this minimum investment
requirement and the Manager intends to do so for employees of the Manager, for
the spouse, parents, children, siblings, grandparents or grandchildren of such
employees and for employees of the Administrator. Institutional Shares are sold
without any initial or deferred sales charges and are not subject to any ongoing
distribution expenses or shareholder servicing fees.
ADVISER SHARES
Adviser shares may be purchased solely through accounts established under a
fee-based program which is sponsored and maintained by a registered
broker-dealer or other financial adviser approved by the Trust's Distributor and
under which each investor pays a fee to the broker-dealer or other financial
adviser, or its affiliate or agent, for investment advisory or administrative
services. In order to be eligible to purchase Adviser Shares, a broker-dealer or
other financial adviser must make an initial investment of at least $100,000 of
its client's assets in the particular Fund. In its sole discretion, the Manager
may waive this minimum asset investment requirement. Adviser Shares are sold
without any initial or deferred sales charges and are not subject to ongoing
distribution expenses, but are subject to a Shareholder Service Fee at an annual
rate with respect to each Fund equal to 0.25% of the Fund's average daily net
assets attributable to Adviser Shares.
24
<PAGE>
SELECT SHARES
Select Shares may be purchased by intermediary financial institutions and
certain individual retirement accounts and individuals. In order to be eligible
to purchase Select Shares, an eligible investor must make an initial investment
of at least $10,000 in the particular Fund. In its sole discretion, the Manager
may waive this minimum investment requirement. Select Shares are subject to an
annual Shareholder Service Fee equal to 0.25% of the average daily net assets
attributable to Select Shares and an annual Distribution Fee equal to 0.25% of
the average daily net assets attributable to Select Shares. As described above,
the Distribution Plan for Select Shares permits payments of up to 0.50% of the
Funds' average daily net assets attributable to Select Shares.
GENERAL
The Shareholder Service Fee charged with respect to Adviser Shares and
Select Shares is intended to be compensation for personal services rendered and
for account maintenance with respect to such shares. The Distribution Fee
charged with respect to Select Shares is intended to compensate the Distributor
for services and expenses primarily intended to result in the sale of Select
Shares.
As described above, shares of the Funds may be sold to corporations or other
institutions such as trusts, foundations or broker-dealers purchasing for the
accounts of others ("Shareholder Organizations"). Investors purchasing and
redeeming shares of the Funds through a Shareholder Organization or through
financial advisers may be charged a transaction-based fee or other fee for the
services provided by the Shareholder Organization or financial adviser. Each
such Shareholder Organization and financial adviser is responsible for
transmitting to its customers a schedule of any such fees and information
regarding any additional or different conditions regarding purchases and
redemptions of Fund shares. Customers of Shareholder Organizations and financial
advisers should read this Prospectus in light of the terms governing accounts
with their particular organization.
PURCHASE OF SHARES
The offering price for shares of each Fund is the net asset value per share
next determined after receipt of a purchase order plus the applicable Fund
Reimbursement Fee. See "Net Asset Value." The payment of a Fund Reimbursement
Fee by each cash investor, which is used to defray the significant costs
associated with investing the proceeds of the sale of the shares to such
investors, is designed to eliminate the diluting effect such costs would
otherwise have on the net asset value of shares held by pre-existing
shareholders. The amount of the Fund Reimbursement Fee represents the Manager's
estimate of the costs reasonably anticipated to be associated with the purchase
of portfolio securities by the Funds and is paid to and retained by the Funds
and used by the Funds to defray such costs. No portion of the Fund Reimbursement
Fee is paid to or retained by the Distributor or the Manager. The Fund
Reimbursement Fee for each Fund, expressed as a percentage of the net asset
value of the shares of each Fund, is as follows: U.S. Small Capitalization
Series -- 0.25%; International Small Capitalization Series -- 0.50%; Japan
Series -- 0.50%. Reinvestments of dividends and capital gains distributions paid
by the Funds, in-kind investments, investments made through the Barr Rosenberg
Automatic Investment Program and additional investments of 401(k) participants
are not subject to a Fund Reimbursement Fee. Also, investors may be charged an
additional fee if they effect transactions through their particular broker or
agent.
25
<PAGE>
As described below, the net asset value of the Japan Series shares is
determined as of 3:00 p.m., Tokyo time. See "Net Asset Value." Due to the 14
hour difference between Tokyo time and New York time, investors who call in
purchase orders after 1:00 a.m. New York time (with adjustment for daylight
savings time) will get the price of Japan Series shares as determined on the
next business day in Tokyo. In such circumstances, investors should expect to
receive the price published on the FOLLOWING day (i.e., not the price published
on the morning of the day the order was placed).
INITIAL CASH INVESTMENTS BY WIRE
Subject to acceptance by the Trust, shares of each Fund may be purchased by
wiring federal funds to Investors Fiduciary Trust Company (see instructions
below). A completed Account Application should be forwarded to the Trust at the
address noted below under "Initial Investments by Mail" in advance of the wire.
Notification must be given at 1-800-447-3332 prior to 4:15 p.m., New York time,
of the wire date. (Prior notification must also be received from investors with
existing accounts.) Funds should be wired through the Federal Reserve Bank to:
Investors Fiduciary Trust Company
ABA # 101003621
Acct. # 7513003
F/B/O Barr Rosenberg Series Trust
Ref. (Fund name)
Federal funds purchases will be accepted only on a day on which the Trust,
the Distributor and the custodian bank are all open for business.
INITIAL CASH INVESTMENTS BY MAIL
Subject to acceptance by the Trust, an account may be opened by completing
and signing an Account Application and mailing it to the Trust at the address
noted below, together with a check (for the applicable minimum) payable to Barr
Rosenberg Series Trust:
Barr Rosenberg Series Trust
P.O. Box 1694
Scottsdale, Arizona 85252-1694
The Fund(s) to be purchased should be specified on the Account Application.
Purchases are accepted subject to collection of checks at full value and
conversion into federal funds. In all cases, subject to acceptance by the Trust,
payment for the purchase of shares received by mail will be credited to a
shareholder's account at the net asset value per share of the Fund next
determined after receipt with deduction of any Fund Reimbursement Fee, even
though the check may not yet have been converted into federal funds.
ADDITIONAL CASH INVESTMENTS
Additional cash investments may be made at any time by mailing a check to
the Trust at the address noted under "Initial Cash Investments by Mail" (payable
to Barr Rosenberg Series Trust) or by wiring monies to Investors Fiduciary Trust
Company as outlined above. Notification must be given at 1-800-447-3332 prior to
4:15 p.m., New York time, of the wire date. The minimum amounts for additional
cash investments are $10,000 for Institutional Shares, $1,000 for Adviser Shares
and $500 for Select Shares.
26
<PAGE>
INVESTMENTS IN-KIND (INSTITUTIONAL SHARES)
Institutional Shares may be purchased in exchange for common stocks on
deposit at The Depository Trust Company ("DTC") or by a combination of such
common stocks and cash. Purchase of Institutional Shares of a Fund in exchange
for stocks is subject in each case to the determination by the Manager that the
stocks to be exchanged are acceptable. Securities accepted by the Manager in
exchange for Fund shares will be valued as set forth under "Determination of Net
Asset Value" (generally the last quoted sale price) as of the time of the next
determination of net asset value after such acceptance. All dividends,
subscription or other rights which are reflected in the market price of accepted
securities at the time of valuation become the property of the Fund and must be
delivered to the Fund upon receipt by the investor from the issuer. A gain or
loss for federal income tax purposes would be realized by investors subject to
federal income taxation upon the exchange, depending upon the investor's basis
in the securities tendered.
The Manager will not approve the acceptance of securities in exchange for
Fund shares unless (1) the Manager, in its sole discretion, believes the
securities are appropriate investments for the Fund; (2) the investor represents
and agrees that all securities offered to the Fund are not subject to any
restrictions upon their sale by the Fund under the Securities Act of 1933, or
otherwise; and (3) the securities may be acquired under the Fund's investment
restrictions. In addition, portfolio securities acquired in exchange for Fund
shares will (1) be acquired for investment and not for resale; (2) be liquid
securities; and (3) have a readily ascertainable value.
OTHER PURCHASE INFORMATION
An eligible shareholder may also participate in the Barr Rosenberg Automatic
Investment Program, an investment plan that automatically debits money from the
shareholder's bank account and invests it in Select Shares of one or more of the
Funds through the use of electronic funds transfers. Investors may commence
their participation in this program with a minimum initial investment of $10,000
and may elect to make subsequent investments by transfers of a minimum of $50
into their established Fund account. You may contact the Trust for more
information about the Barr Rosenberg Automatic Investment Program.
For purposes of calculating the purchase price of Fund shares, a purchase
order is received by the Trust on the day that it is in "good order" unless it
is rejected by the Distributor. For a purchase order to be in "good order" on a
particular day a check or money wire must be received on or before 4:15 p.m. New
York time (in the case of Adviser Shares or Select Shares) of that day or, in
the case of Institutional Shares, the investor's securities must be placed on
deposit at DTC prior to 10:00 a.m. New York time or, in the case of cash
investments, the Trust must have received adequate assurances that federal funds
will be wired to the Fund prior to 4:15 p.m. New York time, on the following
business day. If the consideration is received by the Trust after the deadline,
the purchase price of Fund shares will be based upon the next determination of
net asset value of Fund shares.
The Trust reserves the right, in its sole discretion, to suspend the
offering of shares of its Funds or to reject purchase orders when, in the
judgment of the Manager, such suspension or rejection would be in the best
interests of the Trust.
Purchases of a Fund's shares may be made in full or in fractional shares of
the Fund calculated to three decimal places. In the interest of economy and
convenience, certificates for shares will not be issued.
27
<PAGE>
RETIREMENT PLAN ACCOUNTS
Shares of all Funds may be used as a funding medium for IRAs and other
qualified retirement plans ("Plans"). The minimum initial investment for an IRA
or a Plan is $10,000. An IRA may be established through a custodial account with
Investors Fiduciary Trust Company. A special application must be completed in
order to create such an account. A $5.00 establishment fee and an annual $12.00
maintenance and custody fee is payable with respect to each IRA. In addition, a
$10.00 termination fee will be charged when the account is closed. Shares may
also be purchased for IRAs and Plans established with other authorized
custodians. Contributions to IRAs are subject to prevailing amount limits set by
the Internal Revenue Service. For more information about IRAs and other Plan
accounts, call the Trust at 1-800-447-3332.
REDEMPTION OF SHARES
Shares of each Fund may be redeemed by mail, or, if authorized, by
telephone. A Fund Reimbursement Fee is charged at the time of redemption on all
redemptions except in-kind redemptions of Institutional Shares and redemptions
made under the Systematic Withdrawal Plan. The Fund Reimbursement Fee paid on
such redemptions is used to defray the significant costs to existing
shareholders associated with the sale of Fund portfolio securities to satisfy
the redemption requests and to eliminate the diluting effect such costs would
otherwise have on the net asset value of shares held by existing shareholders.
The amount of the Fund Reimbursement Fee represents the Manager's estimate of
the costs reasonably anticipated to be associated with redemptions and is
retained by the Funds to defray such costs. No portion of the Fund Reimbursement
Fee is paid to or retained by the Distributor or the Manager. The Fund
Reimbursement Fee for each Fund, expressed as a percentage of the net asset
value of the shares redeemed of such Fund, is as follows: U.S. Small
Capitalization Series -- 0.25%; International Small Capitalization Series --
0.50%; Japan Series -- 0.50%. The value of shares redeemed may be more or less
than the purchase price, depending on the market value of the investment
securities held by the particular Fund.
BY MAIL
The Trust will redeem its shares at the net asset value next determined
after the request is received in "good order" and will deduct from the proceeds
the applicable Fund Reimbursement Fee. The net asset values per share of the
Funds are determined as of 4:15 p.m., New York time, on each day that the New
York Stock Exchange, Inc., the Trust and the Distributor are open for business.
Requests should be addressed to Barr Rosenberg Series Trust, 237 Park Avenue,
New York, New York 10017.
Requests in "good order" must include the following documentation:
(a) a letter of instruction, if required, or a stock assignment
specifying the number of shares or dollar amount to be redeemed, signed by
all registered owners of the shares in the exact names in which they are
registered;
(b) any required signature guarantees (see "Signature Guarantees"
below); and
(c) other supporting legal documents, if required, in the case of
estates, trusts, guardianships, custodianships, corporations, pension and
profit sharing plans and other organizations.
28
<PAGE>
SIGNATURE GUARANTEES
To protect shareholder accounts, the Trust and its transfer agent from
fraud, signature guarantees are required to enable the Trust to verify the
identity of the person who has authorized a redemption from an account.
Signature guarantees are required for (1) redemptions where the proceeds are to
be sent to someone other than the registered shareholder(s) at the registered
address, (2) redemptions of $25,000 or more, and (3) share transfer requests.
Signature guarantees may be obtained from certain eligible financial
institutions, including but not limited to, the following: banks, trust
companies, credit unions, securities brokers and dealers, savings and loan
associations and participants in the Securities and Transfer Association
Medallion Program ("STAMP"), the Stock Exchange Medallion Program ("SEMP") or
the New York Stock Exchange Medallion Signature Program ("MSP"). Shareholders
may contact the Trust at 1-800-447-3332 for further details.
BY TELEPHONE
Provided the Telephone Redemption Option has been authorized by an investor
in an account application, a redemption of shares may be requested by calling
the Transfer Agent at 1-800-447-3332 and requesting that the redemption proceeds
be mailed to the primary registration address or wired per the authorized
instructions. If the Telephone Redemption Option or the Telephone Exchange
Option (as described below) is authorized, the Transfer Agent may act on
telephone instruction from any person representing himself or herself to be a
shareholder and believed by the Transfer Agent to be genuine. The Transfer
Agent's records of such instructions are binding and the shareholder, and not
the Trust or the Transfer Agent, bears the risk of loss in the event of
unauthorized instructions reasonably believed by the Transfer Agent to be
genuine. The Transfer Agent will employ reasonable procedures to confirm that
instructions communicated are genuine and, if it does not, it may be liable for
any losses due to unauthorized or fraudulent instructions. The procedures
employed in connection with transactions initiated by telephone include tape
recording of telephone instructions and requiring some form of personal
identification prior to acting upon instructions received by telephone.
SYSTEMATIC WITHDRAWAL PLAN
An owner of $12,000 or more of shares of a Fund may elect to have periodic
redemptions made from the investor's account to be paid on a monthly, quarterly,
semiannual or annual basis. The maximum payment per year is 12% of the account
value at the time of the election. The shareholder will normally redeem a
sufficient number of shares to make the scheduled redemption payments on a date
selected by the shareholder. Depending on the size of the payment requested and
fluctuation in the net asset value, if any, of the shares redeemed, redemptions
for the purpose of making such payments may reduce or even exhaust the account.
A shareholder may request that these payments be sent to a predesignated bank or
other designated party. Capital gains and dividend distributions paid to the
account will automatically be reinvested at net asset value on the distribution
payment date.
FURTHER REDEMPTION INFORMATION
Redemption proceeds for shares of the Trust recently purchased by check may
not be distributed until payment for the purchase has been collected, which may
take up to fifteen business days from the purchase date. Shareholders can avoid
this delay by utilizing the wire purchase option.
If the Manager determines, in its sole discretion, that it would not be in
the best interests of the remaining shareholders of a Fund to make redemption
payment wholly or partly in cash, the Fund may pay the redemption price of
Institutional Shares in whole or in part by a distribution in kind of readily
marketable securities held by
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the relevant Fund in lieu of cash. There will be no Fund Reimbursement Fee on
redemptions in kind of Institutional Shares. Securities used to redeem Fund
shares in kind will be valued in accordance with the Fund's procedures for
valuation described under "Determination of Net Asset Value." Securities
distributed by the Fund in kind will be selected by the Manager in light of the
Fund's objective and will not generally represent a PRO RATA distribution of
each security held in the Fund's portfolio. Investors may incur brokerage
charges on the sale of any such securities so received in payment of
redemptions.
The Trust may suspend the right of redemption and may postpone payment for
more than seven days when the New York Stock Exchange is closed for other than
weekends or holidays, or if permitted by the rules of the Securities and
Exchange Commission, during periods when trading on the Exchange is restricted
or during an emergency which makes it impracticable for the Funds to dispose of
their securities or to fairly determine the value of their net assets, or during
any other period permitted by the Securities and Exchange Commission for the
protection of investors.
EXCHANGE OF FUND SHARES
The Funds offer two convenient ways to exchange shares in one Fund for
shares of another Fund in the Trust. Shares of a particular class of a Fund may
be exchanged only for shares of the same class in another Fund. There is no
sales charge on exchanges, but both the Fund from which the exchange is made and
the Fund into which the exchange is made will charge any applicable Fund
Reimbursement Fee. Before engaging in an exchange transaction, a shareholder
should read carefully the information in the Prospectus describing the Fund into
which the exchange will occur. A shareholder may not exchange shares of a class
of one Fund for shares of the same class of another Fund that is not qualified
for sale in the state of the shareholder's residence. Although the Trust has no
current intention of terminating or modifying the exchange privilege, it
reserves the right to do so at any time. Except as otherwise permitted by
regulations of the Securities and Exchange Commission, the Trust will give 60
days' advance notice to shareholders of any termination or material modification
of the exchange privilege.
An exchange is taxable as a sale of a security on which a gain or loss may
be recognized. Shareholders should receive written confirmation of the exchange
within a few days of the completion of the transaction.
A new account opened by exchange must be established with the same name(s),
address and social security number as the existing account. All exchanges will
be made based on the respective net asset values next determined following
receipt of the request by the Funds containing the information indicated below.
EXCHANGE BY MAIL
To exchange Fund shares by mail, shareholders should simply send a letter of
instruction to the Trust. The letter of instruction must include: (a) the
investor's account number; (b) the class of shares to be exchanged; (c) the Fund
from and the Fund into which the exchange is to be made; (d) the dollar or share
amount to be exchanged; and (e) the signatures of all registered owners or
authorized parties. All signatures must be guaranteed by an eligible guarantor
institution including members of national securities exchanges, commercial banks
or trust companies, broker-dealers, credit unions and savings associations.
EXCHANGE BY TELEPHONE
To exchange Fund shares by telephone or to ask questions about the exchange
privilege, shareholders may call the Trust at 1-800-447-3332. If you wish to
exchange shares, please be prepared to give the telephone
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representative the following information: (a) the account number, social
security number and account registration; (b) the class of shares to be
exchanged; (c) the name of the Fund from which and the Fund into which the
exchange is to be made; and (d) the dollar or share amount to be exchanged.
Telephone exchanges are available only if the shareholder so indicates by
checking the "yes" box on the Account Application. The Trust employs procedures,
including recording telephone calls, testing a caller's identity, and sending
written confirmation of telephone transactions, designed to give reasonable
assurance that instructions communicated by telephone are genuine, and to
discourage fraud. To the extent that a Fund does not follow such procedures, it
may be liable for losses due to unauthorized or fraudulent telephone
instructions. A Fund will not be liable for acting upon instructions
communicated by telephone that it reasonably believes to be genuine. The Trust
reserves the right to suspend or terminate the privilege of exchanging by mail
or by telephone at any time.
DETERMINATION OF NET ASSET VALUE
With the exception of the Japan Series, the net asset value of each class of
shares of each Fund will be determined once on each day on which the New York
Stock Exchange is open as of 4:15 p.m., New York time. In the case of the Japan
Series, the net asset value of each class of shares of that Fund will be
determined once on each day on which the Tokyo Stock Exchange is open as of 3:00
p.m., Tokyo time. Due to the 14 hour time difference, 3:00 p.m. Tokyo time
corresponds to 1:00 a.m. New York time (with adjustments for daylight savings
time). Accordingly, purchase orders received for the Japan Series after 1:00
a.m., New York time (with adjustments for daylight savings time) will receive
the offering price determined on the next business day in Japan. See "Purchase
of Shares" above.
The net asset value per share of each class of a Fund is determined by
dividing the particular class's proportionate interest in the total market value
of the Fund's portfolio investments and other assets, less any applicable
liabilities, by the total outstanding shares of that class of the Fund.
Specifically, each Fund's liabilities are allocated among its classes. The total
of such liabilities allocated to a particular class plus that class's
shareholder servicing and/or distribution expenses, if any, and any other
expenses specially allocated to that class are then deducted from the class's
proportionate interest in the Fund's assets. The resulting amount for each class
is divided by the number of shares of that class outstanding to produce the "net
asset value" per share.
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or, if there is no such reported sale, at the most recent quoted
bid price. Price information on listed securities is generally taken from the
closing price on the exchange where the security is primarily traded. Unlisted
securities for which market quotations are readily available are valued at the
most recent quoted bid price, except that debt obligations with sixty days or
less remaining until maturity may be valued at their amortized cost.
Exchange-traded options, futures and options on futures are valued at the
settlement price as determined by the appropriate clearing corporation. Other
assets and securities for which no quotations are readily available are valued
at fair value as determined in good faith by the trustees of the Trust or by
persons acting at their direction.
DISTRIBUTIONS
Each Fund intends to pay out as dividends substantially all of its net
investment income (which comes from dividends and any interest it receives from
its investments and net realized short-term capital gains). Each Fund
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also intends to distribute substantially all of its net realized long-term
capital gains, if any, after giving effect to any available capital loss
carryover. Each Fund's policy is to declare and pay distributions of its
dividends and interest annually although it may do so more frequently as
determined by the Trustees of the Trust. The Funds' policy is to distribute net
realized short-term capital gains and net realized long-term gains annually,
although it may do so more frequently as determined by the Trustees of the Trust
to the extent permitted by applicable regulations.
All dividends and/or distributions will be paid out in the form of
additional shares of the Fund to which the dividends and/or distributions relate
at net asset value unless the shareholder elects to receive cash. Shareholders
may make this election by marking the appropriate box on the Account Application
or by writing to the Administrator. There is no Fund Reimbursement Fee charged
on reinvested dividends or distributions.
TAXES
Each Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. So long as
a Fund distributes substantially all of its dividend, interest and certain other
income, its net realized short-term capital gains and its net realized long-term
capital gains to its shareholders and otherwise qualifies for the special rules
governing the taxation of regulated investment companies, the Fund itself will
not pay federal income tax on the amount distributed. Dividend distributions
(I.E., distributions derived from interest, dividends and certain other income,
including, in general, short-term capital gains) will be taxable to shareholders
subject to income tax as ordinary income. Distributions of any long-term capital
gains are taxable as such to shareholders subject to income tax, regardless of
how long a shareholder may have owned shares in such Fund. A distribution paid
to shareholders by a Fund in January of a year is generally deemed to have been
received by shareholders on December 31 of the preceding year, if the
distribution was declared and payable to shareholders of record on a date in
October, November or December of that preceding year. Each Fund will provide
federal tax information annually, including information about dividends and
distributions paid during the preceding year.
If more than 50% of a Fund's assets at fiscal year-end is represented by
debt and equity securities of foreign corporations, the Fund may (and the Japan
Series and the International Small Capitalization Series intend to) elect to
permit shareholders who are U.S. citizens or U.S. corporations to claim a
foreign tax credit or deduction (but not both) on their U.S. income tax returns
for their PRO RATA portion of qualified taxes paid by the Fund to foreign
countries. As a result, the amounts of foreign income taxes paid by such Fund
would be treated as additional income to shareholders of such Fund for purposes
of the foreign tax credit. Each such shareholder would include in gross income
from foreign sources its PRO RATA share of such taxes. Certain limitations
imposed by the Internal Revenue Code may prevent shareholders from receiving a
full foreign tax credit or deduction for their allocable amount of such taxes.
The foregoing is a general summary of the federal income tax consequences of
investing in a Fund to shareholders who are U.S. citizens or U.S. corporations.
Shareholders should consult their own tax advisers about the tax consequences of
an investment in the Funds in light of each shareholder's particular tax
situation. Shareholders should also consult their own tax advisers about
consequences under foreign, state, local or other applicable tax laws.
32
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DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES
The Trust is a diversified open-end series investment company organized as a
Massachusetts business trust under the laws of The Commonwealth of Massachusetts
by an Agreement and Declaration of Trust (the "Declaration of Trust") dated
April 1, 1988, as amended from time to time. The U.S. Small Capitalization
Series commenced operations on or about September 13, 1988. The Japan Series
commenced operations on or about January 3, 1989. The International Small
Capitalization Series expects to commence operations on or about the date of
this Prospectus.
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest which are presently divided
into three series. Interests in each of the Funds described in this Prospectus
are represented by shares of such Fund. The Declaration of Trust also permits
the Trustees, without shareholder approval, to subdivide any series of shares
into various sub-series of shares with such dividend preferences and other
rights as the Trustees may designate. While the Trustees have no current
intention to exercise this power, it is intended to allow them to provide for an
equitable allocation of the impact of any future regulatory requirements which
might affect various classes of shareholders differently. The Trustees may also,
without shareholder approval, establish one or more additional separate
portfolios for investments in the Trust or merge two or more existing
portfolios. Shareholders' investments in such a portfolio would be evidenced by
a separate series of shares.
Each Fund is further divided into three classes of shares designated as
Institutional Shares, Adviser Shares and Select Shares. Each class of shares of
each Fund represents interests in the assets of that Fund and has identical
dividend, liquidation and other rights and the same terms and conditions except
that expenses, if any, related to the distribution and shareholder servicing of
a particular class are borne solely by such class and each class may, at the
Trustees' discretion, also pay a different share of other expenses, not
including advisory or custodial fees or other expenses related to the management
of the Trust's assets, if these expenses are actually incurred in a different
amount by that class, or if the class receives services of a different kind or
to a different degree than the other classes. All other expenses are allocated
to each class on the basis of the net asset value of that class in relation to
the net asset value of the particular Fund.
Each class of shares of each Fund has identical voting rights except that
each class has exclusive voting rights on any matter submitted to shareholders
that relates solely to that class, and has separate voting rights on any matter
submitted to shareholders in which the interests of one class differ from the
interests of any other class. Each class of shares has exclusive voting rights
with respect to matters pertaining to any distribution or servicing plan
applicable to that class. Matters submitted to shareholder vote must be approved
by each Fund separately except (i) when required by the Investment Company Act
of 1940, all shares shall be voted together and (ii) when the Trustees have
determined that the matter does not affect all Funds, then only shareholders of
the Fund or Funds affected shall be entitled to vote on the matter. All three
classes of shares of a Fund will vote together, except with respect to any
distribution or servicing plan applicable to a class or when a class vote is
required as specified above or otherwise by the Investment Company Act of 1940.
Shares are freely transferable, are entitled to dividends as declared by the
Trustees and, in liquidation of a Fund portfolio, are entitled to receive the
net assets of that portfolio, but not of the other Funds. The Trust does not
generally hold annual meetings of shareholders and will do so only when required
by law. Shareholders holding a majority of the outstanding shares may remove
trustees from office by votes cast in person or by proxy at a meeting of
shareholders or by written consent.
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The Declaration of Trust provides for the perpetual existence of the Trust.
The Trust, may, however, be terminated at any time by vote of at least
two-thirds of the outstanding shares of the Trust.
Shareholders could, under certain circumstances, be held personally liable
for the obligations of the Trust. However, the risk of a shareholder incurring
financial loss on account of that liability is considered remote since it may
arise only in very limited circumstances.
SHAREHOLDER INQUIRIES
Shareholders may direct inquiries to the Trust at Barr Rosenberg Series
Trust, P.O. Box 1694, Scottsdale, Arizona 85252-1694.
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BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
JAPAN SERIES
STATEMENT OF ADDITIONAL INFORMATION
AUGUST 5, 1996
THIS STATEMENT OF ADDITIONAL INFORMATION IS NOT A PROSPECTUS. THIS
STATEMENT OF ADDITIONAL INFORMATION RELATES TO THE PROSPECTUS DATED AUGUST 5,
1996 AND SHOULD BE READ IN CONJUNCTION THEREWITH. A COPY OF THE PROSPECTUS MAY
BE OBTAINED FROM BARR ROSENBERG SERIES TRUST, 237 PARK AVENUE, SUITE 910, NEW
YORK, NEW YORK 10017.
<PAGE>
TABLE OF CONTENTS
Page
----
INVESTMENT OBJECTIVE AND POLICIES. . . . . . . . . . . . . . . . . . . 1
MISCELLANEOUS INVESTMENT PRACTICES . . . . . . . . . . . . . . . . . . 5
INVESTMENT RESTRICTIONS. . . . . . . . . . . . . . . . . . . . . . . . 6
INCOME DIVIDENDS, DISTRIBUTIONS AND TAX STATUS . . . . . . . . . . . . 7
MANAGEMENT OF THE TRUST. . . . . . . . . . . . . . . . . . . . . . . . 9
INVESTMENT ADVISORY AND OTHER SERVICES . . . . . . . . . . . . . . . . 11
PORTFOLIO TRANSACTIONS . . . . . . . . . . . . . . . . . . . . . . . . 15
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES . . . . . . . . . . . 17
DETERMINATION OF NET ASSET VALUE . . . . . . . . . . . . . . . . . . . 20
EXPERTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
SPECIMEN PRICE-MAKE-UP SHEET . . . . . . . . . . . . . . . . . . . . . A-1
FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . . . . . . . . . F-1
<PAGE>
INVESTMENT OBJECTIVE AND POLICIES
The investment objective and policies of each of the U.S. Small
Capitalization Series, the International Small Capitalization Series and the
Japan Series (each a "Fund" and collectively, the "Funds") of Barr Rosenberg
Series Trust (the "Trust") are summarized on the front page of the Prospectus
and in the text of the Prospectus under the headings "Investment Objectives and
Policies" and "General Description of Risks and Fund Investments."
In addition, the following investment objectives and policies apply to the
Fund or Funds indicated.
INDEX FUTURES (ALL FUNDS). An index futures contract (an "Index Future")
is a contract to buy or sell an integral number of units of an Index at a
specified future date at a price agreed upon when the contract is made. A unit
is the value of the relevant Index from time to time. Entering into a contract
to buy units is commonly referred to as buying or purchasing a contract or
holding a long position in an Index.
Index Futures contracts can be traded through all major commodity brokers.
Currently, contracts are expected to expire on the tenth day of March, June,
September and December. A Fund will be able to close open positions on the
United States futures exchange on which Index Futures are then traded at any
time up to and including the expiration day.
As noted in the Prospectus, upon entering into a futures contract, a Fund
will be required to deposit initial margin with its Custodian in a segregated
account in the name of the futures broker. Variation margin will be paid to and
received from the broker on a daily basis as the contracts are marked to market.
For example, when a Fund has purchased an Index Future and the price of the
relevant Index has risen, that position will have increased in value and the
Fund will receive from the broker a variation margin payment equal to that
increase in value. Conversely, when a Fund has purchased an Index Future and
the price of the relevant Index has declined, the position would be less
valuable and the Fund would be required to make a variation margin payment to
the broker.
The price of Index Futures may not correlate perfectly with movement in the
underlying Index due to certain market distortions. First, all participants in
the futures market are subject to margin deposit and maintenance requirements.
Rather than meeting additional margin deposit requirements, investors may close
futures contracts through offsetting transactions which could distort the normal
relationship between the Index and futures markets. Secondly, the deposit
requirements in the futures market are less onerous than margin requirements in
the securities market, and as a result the futures market may attract more
speculators than does the securities market. Increased participation by
speculators in the futures market may also cause temporary price distortions.
In addition, with respect to the Japan Series, trading hours for Index Futures
may not correspond perfectly to hours of trading on the Tokyo Stock Exchange.
This may result in a disparity between the price of Index Futures and the value
of the underlying Index due to the lack of continuous arbitrage between the
Index Futures price and the value of the underlying Index.
FOREIGN CURRENCY TRANSACTIONS (INTERNATIONAL SMALL CAPITALIZATION SERIES
AND JAPAN SERIES). As is disclosed in the Prospectus following the heading
"General Description of Risks and Fund Investments," the Funds do not currently
intend to hedge the foreign currency risk associated with investments in
securities denominated in foreign currencies. However, the Funds reserve the
right to buy or sell foreign currencies or to deal in forward foreign currency
contracts to hedge against possible variations in foreign
<PAGE>
exchange rates pending the settlement of securities transactions. The Funds
also reserve the right to invest in currency futures contracts and related
options thereon for similar purposes. By entering into a futures or forward
contract for the purchase or sale, for a fixed amount of dollars, of the amount
of foreign currency involved in the underlying security transactions, a Fund
will be able to protect itself against a possible loss resulting from an adverse
change in the relationship between the U.S. dollar and the subject foreign
currency during the period between the date on which the security is purchased
or sold and the date on which payment is made or received. A Fund's dealing in
forward contracts will be limited to this type of transaction. A Fund will not
engage in currency futures transactions for leveraging purposes. A put option
on a futures contract gives a Fund the right to assume a short position in the
futures contract until the expiration of the option. A call option on a futures
contract gives a Fund the right to assume a long position in the futures
contract until the expiration of the option.
CURRENCY FORWARD CONTRACTS (INTERNATIONAL SMALL CAPITALIZATION SERIES AND
JAPAN SERIES). A forward foreign currency exchange contract involves an
obligation to purchase or sell a specific currency at a future date, which may
be any fixed number of days from the date of the contract as agreed by the
parties, at a price set at the time of the contract. In the case of a
cancelable forward contract, the holder has the unilateral right to cancel the
contract at maturity by paying a specified fee. The contracts traded in the
interbank market are negotiated directly between currency traders (usually large
commercial banks) and their customers. A forward contract generally has no
deposit requirement, and no commissions are charged at any stage for trades.
CURRENCY FUTURES TRANSACTIONS (INTERNATIONAL SMALL CAPITALIZATION SERIES
AND JAPAN SERIES). A currency futures contract sale creates an obligation by
the seller to deliver the amount of currency called for in the contract in a
specified delivery month for a stated price. A currency futures contract
purchase creates an obligation by the purchaser to take delivery of the
underlying amount of currency in a specified delivery month at a stated price.
Futures contracts are traded only on commodity exchanges -- known as "contract
markets" -- approved for such trading by the Commodity Futures Trading
Commission ("CFTC"), and must be executed through a futures commission merchant,
or brokerage firm, which is a member of the relevant contract market.
Although futures contracts by their terms call for actual delivery or
acceptance, in most cases the contracts are closed out before the settlement
date without the making or taking of delivery. Closing out a futures contract
sale is effected by purchasing a futures contract for the same aggregate amount
of the specific type of financial instrument or commodity and the same delivery
date. If the price of the initial sale of the futures contract exceeds the
price of the offsetting purchase, the seller is paid the difference and realizes
a gain. Conversely, if the price of the offsetting purchase exceeds the price
of the initial sale, the seller realizes a loss. Similarly, the closing out of
a futures contract purchase is effected by the purchaser entering into a futures
contract sale. If the offsetting sale price exceeds the purchase price, the
purchaser realizes a gain, and if the purchase price exceeds the offsetting sale
price, he realizes a loss.
The purchase or sale of a futures contract differs from the purchase or
sale of a security, in that no price or premium is paid or received. Instead,
an amount of cash or U.S. Treasury bills generally not exceeding 5% of the
contract amount must be deposited with the broker. This amount is known as
initial margin. Subsequent payments to and from the broker, known as variation
margin, are made on a daily basis as the price of the underlying futures
contract fluctuates making the long and short positions in the futures contract
more or less valuable, a process known as "marking to the market." At any time
prior to
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the settlement date of the futures contract, the position may be closed out by
taking an opposite position which will operate to terminate the position in the
futures contract. A final determination of variation margin is then made,
additional cash is required to be paid to or released by the broker, and the
purchaser realizes a loss or gain. In addition, a commission is paid on each
completed purchase and sale transaction.
Unlike a currency futures contract, which requires the parties to buy and
sell currency on a set date, an option on a futures contract entitles its holder
to decide on or before a future date whether to enter into such a contract. If
the holder decides not to enter into the contract, the premium paid for the
option is lost. Since the value of the option is fixed at the point of sale,
there are no daily payments of cash in the nature of "variation" or
"maintenance" margin payments to reflect the change in the value of the
underlying contract as there are by a purchaser or seller of a currency futures
contract.
The ability to establish and close out positions on options on futures will
be subject to the development and maintenance of a liquid secondary market. It
is not certain that this market will develop or be maintained.
The Funds will write (sell) only covered put and call options on currency
futures. This means that a Fund will provide for its obligations upon exercise
of the option by segregating sufficient cash or short-term obligations or by
holding an offsetting position in the option or underlying currency future, or a
combination of the foregoing. Set forth below is a description of methods of
providing cover that the Funds currently expect to employ, subject to applicable
exchange and regulatory requirements. If other methods of providing appropriate
cover are developed, a Fund reserves the right to employ them to the extent
consistent with applicable regulatory and exchange requirements.
A Fund will, so long as it is obligated as the writer of a call option on
currency futures, own on a contract-for-contract basis an equal long position in
currency futures with the same delivery date or a call option on stock index
futures with the difference, if any, between the market value of the call
written and the market value of the call or long currency futures purchased
maintained by the Fund in cash, U.S. Government securities, or other high-grade
liquid debt obligations in a segregated account with its custodian. If at the
close of business on any day the market value of the call purchased by a Fund
falls below 100% of the market value of the call written by the Fund, the Fund
will so segregate an amount of cash, U.S. Government securities, or other high-
grade liquid debt obligations equal in value to the difference. Alternatively,
a Fund may cover the call option through segregating with its custodian an
amount of the particular foreign currency equal to the amount of foreign
currency per futures contract option times the number of options written by the
Fund.
In the case of put options on currency futures written by a Fund, the Fund
will hold the aggregate exercise price in cash, U.S. Government securities, or
other high-grade liquid debt obligations in a segregated account with its
custodian, or own put options on currency futures or short currency futures,
with the difference, if any, between the market value of the put written and the
market value of the puts purchased or the currency futures sold maintained by
the Fund in cash, U.S. Government securities, or other high-grade liquid debt
obligations in a segregated account with its custodian. If at the close of
business on any day the market value of the put options purchased or the
currency futures sold by a Fund falls below 100% of the market value of the put
options written by the Fund, the Fund will so segregate an amount of cash, U.S.
Government securities, or other high-grade liquid debt obligations equal in
value to the difference.
-3-
<PAGE>
The Fund may not enter into currency futures contracts or related options
thereon if immediately thereafter the amount committed to margin plus the amount
paid for premiums for unexpired options on currency futures contracts exceeds 5%
of the market value of the Fund's total assets.
LIMITATIONS ON THE USE OF CURRENCY FUTURES CONTRACTS (INTERNATIONAL SMALL
CAPITALIZATION SERIES AND JAPAN SERIES). A Fund's ability to engage in the
currency futures transactions described above will depend on the availability of
liquid markets in such instruments. Markets in currency futures are relatively
new and still developing. It is impossible to predict the amount of trading
interest that may exist in various types of currency futures. Therefore no
assurance can be given that a Fund will be able to utilize these instruments
effectively for the purposes set forth above. Furthermore, a Fund's ability to
engage in such transactions may be limited by tax considerations.
RISK FACTORS IN CURRENCY FUTURES TRANSACTIONS (INTERNATIONAL SMALL
CAPITALIZATION SERIES AND JAPAN SERIES). Investment in currency futures
contracts involves risk. Some of that risk may be caused by an imperfect
correlation between movements in the price of the futures contract and the price
of the currency being hedged. The hedge will not be fully effective where there
is such imperfect correlation. To compensate for imperfect correlations, a Fund
may purchase or sell futures contracts in a greater amount than the hedged
currency if the volatility of the hedged currency is historically greater than
the volatility of the futures contracts. Conversely, a Fund may purchase or
sell fewer contracts if the volatility of the price of the hedged currency is
historically less than that of the futures contracts. The risk of imperfect
correlation generally tends to diminish as the maturity date of the futures
contract approaches.
The successful use of transactions in futures and related options also
depends on the ability of the Manager to forecast correctly the direction and
extent of exchange rate and stock price movements within a given time frame. It
is impossible to forecast precisely what the market value of securities a Fund
anticipates buying will be at the expiration or maturity of a currency forward
or futures contract. Accordingly, in cases where a Fund seeks to protect
against an increase in value of the currency in which the securities are
denominated through a foreign currency transaction, it may be necessary for the
Fund to purchase additional foreign currency on the spot market (and bear the
expense of such currency purchase) if the market value of the securities to be
purchased is less than the amount of foreign currency the Fund contracted to
purchase. Conversely, it may be necessary to sell on the spot market some of
the foreign currency received upon the sale of the portfolio security or
securities if the market value of such security or securities exceeds the value
of the securities purchased. When a Fund purchases forward or futures contracts
(or options thereon) to hedge against a possible increase in the price of
currency in which is denominated the securities the Fund anticipates purchasing,
it is possible that the market may instead decline. If a Fund does not then
invest in such securities because of concern as to possible further market
decline or for other reasons, the Fund may realize a loss on the forward or
futures contract that is not offset by a reduction in the price of the
securities purchased. As a result, a Fund's total return for such period may be
less than if it had not engaged in the forward or futures transaction.
Foreign currency transactions that are intended to hedge the value of
securities a Fund contemplates purchasing do not eliminate fluctuations in the
underlying prices of those securities. Rather, such currency transactions
simply establish a rate of exchange which can be used at some future point in
time. Additionally, although these techniques tend to minimize the risk of loss
due to a change in the value of
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<PAGE>
the currency involved, they tend to limit any potential gain that might result
from the increase in the value of such currency.
The amount of risk a Fund assumes when it purchases an option on a currency
futures contract is the premium paid for the option plus related transaction
costs. In addition to the correlation risks discussed above, the purchase of an
option also entails the risk that changes in the value of the underlying futures
contract will not be fully reflected in the value of the option purchased.
The liquidity of a secondary market in a currency futures contract may be
adversely affected by "daily price fluctuation limits" established by commodity
exchanges which limit the amount of fluctuation in a futures contract price
during a single trading day. Once the daily limit has been reached in the
contract, no trades may be entered into at a price beyond the limit, thus
preventing the liquidation of open futures positions. Prices have in the past
exceeded the daily limit on a number of consecutive trading days.
A Fund's ability to engage in currency forward and futures transactions may
be limited by tax considerations.
WARRANTS (JAPAN SERIES). The Japan Series may from time to time purchase
warrants; however, not more than 5% of its net assets (at the time of purchase)
will be invested in warrants other than warrants acquired in units or attached
to other securities. Of such 5%, not more than 2% of such net assets at the
time of purchase may be invested in warrants that are not listed on the New York
Stock Exchange or American Stock Exchange. Warrants have no voting rights, pay
no dividends and have no rights with respect to the assets of the corporation
issuing them. Warrants represent options to purchase equity securities of an
issuer at a specific price for a specific period of time. They do not represent
ownership of such securities, but only the right to buy them.
MISCELLANEOUS INVESTMENT PRACTICES
PORTFOLIO TURNOVER. A change in securities held by a Fund is known as
"portfolio turnover" and almost always involves the payment by the Fund of
brokerage commissions or dealer markup and other transaction costs on the
sale of securities as well as on the reinvestment of the proceeds in other
securities. Portfolio turnover is not a limiting factor with respect to
investment decisions. Although the rate of portfolio turnover is difficult
to predict, it is not anticipated that under normal circumstances the annual
portfolio turnover rate for each of the Funds will exceed 100%. It is,
however, impossible to predict portfolio turnover in future years. The
portfolio turnover rate for the U.S. Small Capitalization Series for the
fiscal years ended March 31, 1995 and 1996 was 57.27% and 71.87%,
respectively. The portfolio turnover rate for the Japan Series for the
fiscal years ended March 31, 1995 and 1996 was 57.10% and 60.60%,
respectively. As disclosed in the Prospectus, high portfolio turnover
involves correspondingly greater brokerage commissions and other transaction
costs, which will be borne directly by the Fund, and could involve
realization of capital gains that would be taxable when distributed to
shareholders of a Fund. To the extent that portfolio turnover results in the
realization of net short-term capital gains, such gains are ordinarily taxed
to shareholders at ordinary income tax rates.
NOTICE ON SHAREHOLDER APPROVAL
Unless otherwise indicated in the Prospectus or this Statement of
Additional Information, the investment objective and policies of each of the
Funds may be changed without shareholder approval.
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<PAGE>
INVESTMENT RESTRICTIONS
Without a vote of the majority of the outstanding voting securities of a
Fund, the Trust will not take any of the following actions with respect to such
Fund:
(1) Borrow money in excess of 10% of the value (taken at the lower of
cost or current value) of the Fund's total assets (not including the amount
borrowed) at the time the borrowing is made, and then only from banks as a
temporary measure to facilitate the meeting of redemption requests (not for
leverage) which might otherwise require the untimely disposition of portfolio
investments or for extraordinary or emergency purposes. Such borrowings will be
repaid before any additional investments are purchased.
(2) Pledge, hypothecate, mortgage or otherwise encumber its assets in
excess of 10% of the Fund's total assets (taken at cost) and then only to secure
borrowings permitted by Restriction 1 above. (For the purposes of this
restriction, collateral arrangements with respect to options, stock index,
interest rate, currency or other futures, options on futures contracts and
collateral arrangements with respect to initial and variation margin are not
deemed to be a pledge or other encumbrance of assets. With respect to the
International Small Capitalization Series and the Japan Series, collateral
arrangements with respect to swaps and other derivatives are also not deemed to
be a pledge or other encumbrance of assets.
(3) Purchase securities on margin, except such short-term credits as
may be necessary for the clearance of purchases and sales of securities. (For
this purpose, the deposit or payment of initial or variation margin in
connection with futures contracts or related options transactions is not
considered the purchase of a security on margin.)
(4) Make short sales of securities or maintain a short position for
the Fund's account unless at all times when a short position is open the Fund
owns an equal amount of such securities or owns securities which, without
payment of any further consideration, are convertible into or exchangeable for
securities of the same issue as, and equal in amount to, the securities sold
short.
(5) Underwrite securities issued by other persons except to the
extent that, in connection with the disposition of its portfolio investments, it
may be deemed to be an underwriter under federal securities laws.
(6) Purchase or sell real estate, although it may purchase securities
of issuers which deal in real estate, including securities of real estate
investment trusts, and may purchase securities which are secured by interests in
real estate.
(7) Concentrate more than 25% of the value of its total assets in any
one industry.
(8) Invest in securities of other investment companies, except to the
extent permitted by the Investment Company Act of 1940, as amended (the "1940
Act"). Under the 1940 Act, no registered investment company may generally (a)
invest more than 10% of its total assets (taken at current value) in securities
of other investment companies, (b) own securities of any one investment company
having a value in excess of 5% of its total assets (taken at current value), or
(c) own more than 3% of the outstanding voting stock of any one investment
company.)
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<PAGE>
(9) Purchase or sell commodities or commodity contracts except that
each of the Funds may purchase and sell foreign currency, currency futures
contracts and options thereon, stock index and other financial futures contracts
and options thereon.
(10) Make loans, except by purchase of debt obligations or by
entering into repurchase agreements or through the lending of the Fund's
portfolio securities.
(11) Issue senior securities. (For the purpose of this restriction
none of the following is deemed to be a senior security: any pledge or other
encumbrance of assets permitted by restriction (2) above; any borrowing
permitted by restriction (1) above; any collateral arrangements with respect to
options, future contracts and options in future contracts and with respect to
initial and variation margin; and the purchase or sale of options, forward
contracts, future contracts or options on future contracts.)
Notwithstanding the latitude permitted by Restrictions 1, 2, 3, 4, 9 and 10
above, the Funds have no current intention of (a) borrowing money, (b)
purchasing interest rate futures, (c) entering into short sales or (d) investing
in repurchase agreements.
It is contrary to the present policy of each Fund, which may be changed by
the trustees without shareholder approval, to:
(a) With the exception of the Japan Series, invest in warrants or
rights (other than warrants or rights acquired by the Fund as a part of a unit
or attached to securities at the time of purchase).
(b) Write, purchase or sell options on particular securities (as
opposed to market indices or currencies).
(c) Buy or sell oil, gas or other mineral leases, rights or royalty
contracts.
(d) Make investments for the purpose of exercising control of a
company's management.
(e) Invest in (a) securities which at the time of investment are
not readily marketable, (b) securities the disposition of which is restricted
under the federal securities laws, and (c) repurchase agreements maturing in
more than seven days if, as a result, more than 15% of the Fund's net assets
(taken at current value) would then be invested in securities described in
(a), (b) and (c) above.
(f) With respect to 75% of its total assets, invest in a security
if, as a result of such investment, it would hold more than 10% (taken at the
time of such investment) of the outstanding voting securities of any one
issuer, except that this restriction does not apply to securities issued or
guaranteed by the U.S. Government or its agencies or instrumentalities.
Except as indicated above in Restriction No. 1, all percentage limitations
on investments set forth herein and in the Prospectus will apply at the time of
the making of an investment and shall not be considered violated unless an
excess or deficiency occurs or exists immediately after and as a result of such
investment.
The phrase "shareholder approval," as used in the Prospectus, and the
phrase "vote of a majority of the outstanding voting securities," as used
herein, means the affirmative vote of the lesser of (1) more than 50% of the
outstanding shares of a Fund or the Trust, as the case may be, or (2) 67% or
more of the shares of a Fund, or the Trust, as the case may be, present at a
meeting if more than 50% of the outstanding shares are represented at the
meeting in person or by proxy.
INCOME DIVIDENDS, DISTRIBUTIONS AND TAX STATUS
The tax status of the Funds and the distributions which they may make are
summarized in the Prospectus under the heading "Taxes." The Funds intend to
qualify each year as a regulated investment company under the Internal Revenue
Code. In order to qualify as a "regulated investment company," each
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<PAGE>
Fund must, among other things, (a) derive at least 90% of its gross income from
dividends, interest, payments with respect to certain securities loans, gains
from the sale or other disposition of securities or foreign currencies or other
income (including but not limited to gains from options, futures or forward
contracts) derived with respect to its business of investing in such securities
or currencies; (b) derive less than 30% of its gross income from the sale or the
other disposition of securities and certain other assets held less than three
months; (c) diversify its holdings so that, at the close of each quarter of its
taxable year, (i) at least 50% of the value of its total assets consists of
cash, cash items, U.S. Government securities, securities of other regulated
investment companies, and other securities limited generally with respect to any
one issuer to not more than 5% of the total assets of such Fund and not more
than 10% of the outstanding voting securities of such issuer, and (ii) not more
than 25% of the value of its assets is invested in the securities of any issuer
(other than U.S. Government securities or securities of other regulated
investment companies); and (d) distribute annually at least 90% of its dividend,
interest and certain other income (including, in general, short-term capital
gains). To the extent a Fund qualifies for treatment as a regulated investment
company, the Fund will not be subject to federal income tax on income paid to
its shareholders in the form of dividends or capital gain distributions.
The Japan Series and the International Small Capitalization Series may be
subject to foreign withholding taxes on income and gains derived from foreign
investments. Such taxes would reduce the yield on such Funds' investments, but,
as discussed in the Prospectus, may be taken as either a deduction or a credit
by U.S. citizens and corporations.
Investment by either Fund in certain "passive foreign investment companies"
could subject the Fund to a U.S. federal income tax or other charge on
distributions received from, or on the sale of its investment in, such a
company. Such a tax cannot be eliminated by making distributions to Fund
shareholders. If such Fund elects to treat a passive foreign investment company
as a "qualified electing fund," different rules will apply, although the Fund
does not expect to be in the position to make such elections.
As described in the Prospectus under the heading "Distributions," each Fund
intends to pay out substantially all of its ordinary income and net realized
short-term capital gains, and to distribute substantially all of its net
realized capital gains, if any, after giving effect to any available capital
loss carryover. Net realized capital gain is the excess of net realized long-
term capital gain over net realized short-term capital loss. Under the Tax
Reform Act of 1986, in order to avoid an excise tax imposed on certain
undistributed income, a Fund must distribute prior to each calendar year end
without regard to the Fund's fiscal year end (i) 98% of the Fund's ordinary
income, and (ii) 98% of the Fund's capital gain net income, if any, realized in
the one-year period ending on October 31.
In general, all dividend distributions derived from ordinary income and
short-term capital gain are taxable to investors as ordinary income (eligible in
part for the dividends-received deduction in the case of corporations) and long-
term capital gain distributions are taxable to investors as long-term capital
gains, whether such dividends or distributions are received in shares or cash.
The dividends-received deduction for corporations will generally apply to a
Fund's dividends from investment income to the extent derived from dividends
received by the Fund from domestic corporations.
Certain tax exempt organizations or entities may not be subject to federal
income tax on dividends or distributions from a Fund. Each organization or
entity should review its own circumstances and the federal tax treatment of its
income.
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<PAGE>
Each Fund is generally required to withhold and remit to the U.S. Treasury
20% of all dividends from net investment income and capital gain distributions,
whether distributed in cash or reinvested in shares of the Fund, paid or
credited to any shareholder account for which an incorrect or no taxpayer
identification number has been provided or where the Fund is notified that the
shareholder has underreported income in the past (or the shareholder fails to
certify that he is not subject to such withholding). In addition, the Fund will
generally be required to withhold and remit to the U.S. Treasury 20% of the
amount of the proceeds of any redemption of Fund shares from a shareholder
account for which an incorrect or no taxpayer identification number has been
provided. However, the general back-up withholding rules set forth above will
not apply to tax exempt entities so long as each such entity furnishes the Fund
with an appropriate certificate.
To the extent such investments are permissible for a particular Fund, the
Fund's transactions in options, futures contracts, hedging transactions, forward
contracts, straddles and foreign currencies will be subject to special tax rules
(including mark-to-market, straddle, wash sale and short sale rules), the effect
of which may be to accelerate income to the Fund, defer losses to the Fund,
cause adjustments in the holding periods of the Fund's securities and convert
short-term capital losses into long-term capital losses. These rules could
therefore affect the amount, timing and character of distributions to
shareholders.
MANAGEMENT OF THE TRUST
The trustees and officers of the Trust and their principal occupations
during the past five years are as follows:
Kenneth Reid* (46) General Partner and Director
President, Trustee of Research, Rosenberg Institutional Equity
Management, June, 1986 to present.
Marlis S. Fritz* (46) General Partner and Director of
Vice President, Trustee Marketing, Rosenberg Institutional Equity
Management, April, 1985 to present.
Nils H. Hakansson (59) Sylvan C. Coleman Professor of
Trustee Finance and Accounting, Haas School of
Business, University of California, Berkeley,
June, 1969 to present. Director, Supershare
Services Corporation, November, 1989 to
present.
Barr M. Rosenberg* (53) Managing General Partner, Trustee and
Trustee Chief Investment Officer, Rosenberg
Institutional Equity Management, January,
1985 to present.
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<PAGE>
William F. Sharpe (62) Timken Professor of Finance,
Trustee Stanford University, September, 1970 to
September, 1989. Timken Professor Emeritus
of Finance, Stanford University, October,
1989 to present. Chairman, William F. Sharpe
Associates, Los Altos, California (research
and financial consulting), March, 1986 to
present.
Po-Len Hew (30) Accounting Manager, Rosenberg
Treasurer Institutional Equity Management, October,
1989 to present.
Carolyn Demler (52) Administrative Coordinator, Rosenberg
Clerk Institutional Equity Management, December,
1988 to present.
John J. Pileggi (37) Director, Furman Selz LLC 1993 to present.
Assistant Treasurer Managing Director, Furman Selz LLC, 1984 to
1993.
Gordon Forrester (35) Managing Director, Furman Selz LLC, 1987 to
Assistant Treasurer present.
Joan V. Fiore (40) Managing Director and Counsel, Furman Selz
Assistant Clerk LLC, 1991 to present. Staff Attorney,
Securities and Exchange Commission, 1986 to
1991.
Carrie Zuckerman (29) Associate Director, Furman Selz LLC, 1993 to
Assistant Clerk present. Alliance Capital Management, L.P.,
1991 to 1993.
Eric Rubin (30) Managing Director, Furman Selz LLC, June,
Assistant Clerk 1995 to present; Vice President and Managing
Director, Bank One Investment Advisers,
November, 1993 to June, 1995. Associate
Director, Furman Selz LLC, 1989 to1993.
* Trustees who are "interested persons" (as defined in the 1940 Act) of the
Trust or the Manager.
The mailing address of each of the officers and trustees is c/o Barr
Rosenberg Series Trust, 237 Park Avenue, Suite 910, New York, NY 10017.
The principal occupations of the officers and trustees for the last five
years have been with the employers as shown above, although in some cases they
have held different positions with such employers.
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<PAGE>
For the fiscal year beginning April 1, 1996, the Trust will pay the
trustees other than those who are interested persons of the Manager an annual
fee of $36,000 (including a base fee and a fee per Fund for each meeting). The
Trust does not pay any pension or retirement benefits for its trustees. As
noted below under the heading "Investment Advisory and other Services --
Management Contract," the Trust does not pay any compensation to officers or
trustees of the Trust other than those trustees who are not interested persons
of the Trust. The following table sets forth information concerning the total
compensation paid to each of the trustees who are not interested persons of the
Trust in the fiscal year ended March 31, 1996.
<TABLE>
<CAPTION>
(1) (2) (3) (4) (5)
Total
Pension or Compensation
Retirement from Registrant
Aggregate Benefits Accrued Estimated Annual and Fund
Name of Person Compensation as Part of Fund Benefits Upon Complex Paid
Position from Registrant Expenses Retirement to Directors
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Nils H. Hakansson $22,063 $0 $0 $22,063
Trustee
William F. Sharpe $22,063 $0 $0 $22,063
Trustee
</TABLE>
Messrs. Rosenberg and Reid, and Ms. Fritz, Demler and Hew, each being a
general partner, officer or employee of the Manager, will each benefit from
the management fees paid by the Trust to the Manager, but receive no direct
compensation for the Trust.
INVESTMENT ADVISORY AND OTHER SERVICES
MANAGEMENT CONTRACTS
As disclosed in the Prospectus under the heading "Management of the Trust,"
under management contracts (each a "Management Contract") between the Trust, on
behalf of each Fund, and Rosenberg Institutional Equity Management (the
"Manager"), subject to the control of the trustees of the Trust and such
policies as the trustees may determine, the Manager will furnish continuously an
investment program for each Fund and will make investment decisions on behalf of
each Fund and place all orders for the purchase and sale of portfolio
securities. Subject to the control of the trustees, the Manager furnishes
office space and equipment, provides bookkeeping and certain clerical services
and pays all salaries, fees and expenses of officers and trustees of the Trust
who are affiliated with the Manager. As indicated under "Portfolio Transactions
- -- Brokerage and Research Services," the Trust's portfolio transactions may be
placed with broker-dealers which furnish the Manager, at no cost, certain
research, statistical and quotation services of value to the Manager in advising
the Trust or its other clients.
As is disclosed in the Prospectus, each of the Funds has agreed to pay the
Manager a quarterly management fee at the annual percentage rate of the relevant
Fund's average daily net assets set forth in the Prospectus. The Manager has
informed the Trust that it will voluntarily waive some or all of its management
fees under the Management Contracts and, if necessary, will bear certain
expenses of each Fund until
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<PAGE>
further notice to the extent that such Fund's total annual operating expenses
(including the management fee but not including nonrecurring account fees and
extraordinary expenses) applicable to each class will not exceed the percentage
of such Fund's average daily net assets attributable to that class as set forth
in the Prospectus. In addition, the Manager's compensation under each
Management Contract is subject to reduction to the extent that in any year the
expenses of a Fund (including investment advisory fees but excluding taxes,
portfolio brokerage commissions and any distribution expenses paid by a class of
shares of a Fund pursuant to a distribution plan or otherwise) exceed the limits
on investment company expenses imposed by any statute or regulatory authority of
any jurisdiction in which shares of the Fund are qualified for offer and sale.
The most restrictive of such limitations as of the date of this Statement of
Additional Information is believed to be 2 1/2% of the first $30 million of
average net assets, 2% of the next $70 million of average net assets and 1 1/2%
of any excess over $100 million.
Each Management Contract provides that the Manager shall not be subject to
any liability to the Trust or to any shareholder of the Trust in connection with
the performance of its services thereunder in the absence of willful
misfeasance, bad faith, gross negligence or reckless disregard of its
obligations and duties thereunder.
Each Management Contract was approved by the trustees of the Trust
(including all of the trustees who are not "interested persons" of the Manager)
and by the shareholders of each Fund in connection with the organization and
establishment of each of the Funds. Each Management Contract will continue in
effect for a period no more than two years from the date of its execution only
so long as its continuance is approved at least annually by (i) vote, cast in
person at a meeting called for that purpose, of a majority of those trustees who
are not "interested persons" of the Manager or the Trust, and by (ii) the
majority vote of either the full Board of Trustees or the vote of a majority of
the outstanding shares of the relevant Fund. Each Management Contract
automatically terminates on assignment, and is terminable on not more than 60
days' notice by the Trust to the Manager. In addition, each Management Contract
may be terminated on not more than 60 days' written notice by the Manager to the
Trust.
As disclosed in the Prospectus, the general partners of the Manager are
Barr M. Rosenberg, Marlis S. Fritz and Kenneth Reid. Each of these persons may
be deemed a controlling person of the Manager.
As discussed in this Statement of Additional Information under the heading
"Management of the Trust," Barr M. Rosenberg is a trustee of the Trust as well
as Managing General Partner and Chief Investment Officer of the Manager; Marlis
S. Fritz is a trustee and Vice President of the Trust as well as general partner
and Director of Marketing of the Manager; and Kenneth Reid is a trustee and
President of the Trust as well as general partner and Director of Research of
the Manager.
During the last three fiscal years, the U.S. Small Capitalization Series
has paid the following amounts as management fees to the Manager pursuant to its
Management Contract:
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<PAGE>
Gross Reduction Net
----- --------- ---
4/1/93 - 3/31/94 $469,472 $140,112 $329,360
4/1/94 - 3/31/95 $427,746 $148,971 $278,775
4/1/95 - 3/31/96 $514,386 $157,913 $356,473
During the last three fiscal years, the Japan Series has paid the following
amounts as management fees to the Manager pursuant to its Management Contract:
Gross Reduction Net
----- --------- ---
4/1/93 - 3/31/94 $ 10,945 $ 10,945 -0-
4/1/94 - 3/31/95 $ 12,148 $ 12,148 -0-
4/1/95 - 3/31/96 $ 12.093 $ 12,093 -0-
As of March 31, 1996, the International Small Capitalization Series had not
yet commenced operations.
ADMINISTRATIVE SERVICES
The Trust has entered into a Fund Administration Agreement with Furman
Selz LLC ("Furman Selz") pursuant to which Furman Selz provides certain
management, accounting and administrative services necessary for the Funds'
operations including: (i) general supervision of the operation of the Funds
including coordination of the services performed by the Funds' investment
advisor, transfer agent, custodian, independent accountants and legal
counsel, regulatory compliance, including the compilation of information for
documents such as reports to, and filings with, the SEC and state securities
commissions, and preparation of proxy statements and shareholder reports for
the Funds; (ii) general supervision relative to the compilation of data
required for the preparation of periodic reports distributed to the Funds'
officers and Board of Trustees; and (iii) furnishing office space and certain
facilities required for conducting the business of the Funds. The Trust's
principal underwriter is an affiliate of Furman Selz. For these services,
Furman Selz is entitled to receive a fee, payable monthly, at the annual rate
of 0.15% of the average daily net assets of the Funds plus an annual fee of
$30,000 for each Fund. The Trust did not pay any such fees to Furman Selz
through the fiscal year ended March 31, 1996.
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<PAGE>
On June 28, 1996, Furman Selz and BISYS Group, Inc. ("BISYS") announced
a definitive agreement which provides for Furman Selz to transfer its mutual
fund clients to BISYS. This transaction is expected to close on or before
September 30, 1996. BISYS, headquartered in Little Falls, New Jersey,
supports more than 5,000 financial institutions and corporate clients through
two strategic business units. BISYS Information Services Group designs,
administers and distributes over 30 families of proprietary mutual funds
consisting of more than 365 portfolios, and provides 401(k) marketing
support, administration, and recordkeeping services in partnership with 18 of
the nation's leading bank and investment management companies. It is
expected that BISYS and its affiliates will serve in Furman Selz' current
capacity as Administrator and Transfer Agent for the Funds on and after the
closing of the transaction.
DISTRIBUTOR AND DISTRIBUTION PLAN
As stated in the text of the Prospectus under the heading "Management of
the Trust-Distributor," Adviser and Select Shares of each Fund are sold on a
continuous basis by the Trust's distributor, Barr Rosenberg Funds
Distributor, Inc. (the "Distributor"). The Distributor is an affiliate of
Furman Selz. It is expected that the Distributor will become a wholly-owned
subsidiary of BISYS upon the closing of the above-referenced transaction.
Under the Distributor's Contract between the Trust and the Distributor (the
"Distributor's Contract"), the Distributor is not obligated to sell any
specific amount of shares of the Trust and will purchase shares for resale
only against orders for shares.
Pursuant to the Distribution Plan (the "Plan") described in the Prospectus,
in connection with the distribution of Select Shares of the Trust, the
Distributor receives certain distribution fees from the Trust. Subject to the
percentage limitation on the distribution fee set forth in the Prospectus, the
distribution fee may be paid in respect of services rendered and expenses borne
in the past with respect to each such class as to which no distribution fee was
paid on account of such limitation. The Distributor may pay all or a portion of
the distribution fees it receives from the Trust to participating and
introducing brokers.
The Plan may be terminated with respect to the class of shares of any Fund
to which the Plan relates by vote of a majority of the trustees of the Trust who
are not interested persons of the Trust (as defined in the 1940 Act) and who
have no direct or indirect financial interest in the operation of the Plan or
the Distributor's Contract (the "Independent Trustees"), or by vote of a
majority of the outstanding voting securities of that class. Any change in the
Plan that would materially increase the cost to the class of shares of any Fund
to which the Plan relates requires approval by the affected class of
shareholders of that Fund. The trustees of the Trust review quarterly a written
report of such costs and the purposes for which such costs have been incurred.
Except as described above, the Plan may be amended by vote of the trustees of
the Trust, including a majority of the Independent Trustees, cast in person at a
meeting called for the purpose. For so long as the Plan is in effect, selection
and nomination of those trustees of the Trust who are not interested persons of
the Trust shall be committed to the discretion of such disinterested persons.
The Distributor's Contract may be terminated with respect to any Fund or
class of shares thereof at any time by not more than 60 days' nor less than 30
days' written notice without payment of any penalty either by the Distributor or
by such Fund or class and will terminate automatically, without the payment of
any penalty, in the event of its assignment.
The Distributor's Contract and the Plan will continue in effect with
respect to each class of shares to which they relate for successive one-year
periods, provided that each such continuance is specifically approved (i) by the
vote of a majority of the Independent Trustees and (ii) by the vote of a
majority of the
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<PAGE>
entire Board of Trustees (or by vote of a majority of the outstanding shares of
a class, in the case of the Distributor's Contract) cast in person at a meeting
called for that purpose.
If the Distributor's Contract or the Plan are terminated (or not renewed)
with respect to one or more classes, they may continue in effect with respect to
any class of any Fund as to which they have not been terminated (or have been
renewed).
The trustees of the Trust believe that the Plan will provide benefits to
the Trust. The trustees of the Trust believe that the Plan will result in
greater sales and/or fewer redemptions of Select Shares, although it is
impossible to know for certain the level of sales and redemptions of Select
Shares that would occur in the absence of the Plan or under alternative
distribution schemes. The trustees of the Trust believe that the effect on
sales and/or redemptions benefit the Trust by reducing Fund expense ratios
and/or by affording greater flexibility to Fund managers.
CUSTODIAL ARRANGEMENTS. State Street Bank and Trust Company ("State Street
Bank"), Boston, Massachusetts 02102, is the Trust's custodian. As such, State
Street Bank holds in safekeeping certificated securities and cash belonging to
the Trust and, in such capacity, is the registered owner of securities in book-
entry form belonging to a Fund. Upon instruction, State Street Bank receives
and delivers cash and securities of a Fund in connection with Fund transactions
and collects all dividends and other distributions made with respect to Fund
portfolio securities. State Street Bank also maintains certain accounts and
records of the Trust and calculates the total net asset value, total net income
and net asset value per share of a Fund on a daily basis. State Street Bank has
also contracted with certain foreign banks and depositories to hold portfolio
securities outside of the United States on behalf of the Trust.
INDEPENDENT ACCOUNTANTS. The Trust's independent accountants are Price
Waterhouse LLP, 160 Federal Street, Boston, Massachusetts 02110. Price
Waterhouse LLP conducts an annual audit of the Trust's financial statements,
assists in the preparation of the Trust's federal and state income tax returns
and the Trust's filings with the Securities and Exchange Commission, and
consults with the Trust as to matters of accounting and federal and state income
taxation.
PORTFOLIO TRANSACTIONS
INVESTMENT DECISIONS. The purchase and sale of portfolio securities for
the Funds and for the other investment advisory clients of the Manager are made
by the Manager with a view to achieving each client's investment objective. For
example, a particular security may be purchased or sold on behalf of certain
clients of the Manager even though it could also have been purchased or sold for
other clients at the same time. Likewise, a particular security may be
purchased on behalf of one or more clients when the Manager is selling the same
security on behalf of one or more other clients. In some instances, therefore,
the Manager, acting for one client may sell indirectly a particular security to
another client. It also happens that two or more clients may simultaneously buy
or sell the same security, in which event purchases or sales are effected pro
rata on the basis of cash available or other equitable basis so as to avoid any
one account's being preferred over any other account.
BROKERAGE AND RESEARCH SERVICES. Transactions on stock exchanges and other
agency transactions involve the payment of negotiated brokerage commissions.
Such commissions vary among different brokers. There is generally no stated
commission in the case of securities traded in the over-the-counter
-15-
<PAGE>
markets, but the price paid for such securities usually includes an undisclosed
dealer commission or mark up. In placing orders for the portfolio transactions
of a Fund, the Manager will seek the best price and execution available, except
to the extent it may be permitted to pay higher brokerage commissions for
brokerage and research services as described below. The determination of what
may constitute best price and execution by a broker-dealer in effecting a
securities transaction involves a number of considerations, including, without
limitation, the overall net economic result to the Fund (involving price paid or
received and any commissions and other costs paid), the efficiency with which
the transaction is effected, the ability to effect the transaction at all where
a large block is involved, availability of the broker to stand ready to execute
possibly difficult transactions in the future and the financial strength and
stability of the broker. Because of such factors, a broker-dealer effecting a
transaction may be paid a commission higher than that charged by another broker-
dealer. Most of the foregoing are judgmental considerations.
Over-the-counter transactions often involve dealers acting for their own
account. It is the Manager's policy to place over-the-counter market orders for
a Fund with primary market makers unless better prices or executions are
available elsewhere.
Although the Manager does not consider the receipt of research services as
a factor in selecting brokers to effect portfolio transactions for a Fund, the
Manager will receive such services from brokers who are expected to handle a
substantial amount of such Fund's portfolio transactions. Research services may
include a wide variety of analyses, reviews and reports on such matters as
economic and political developments, industries, companies, securities and
portfolio strategy. The Manager uses such research in servicing other clients
as well as the Trust.
As permitted by Section 28(e) of the Securities Exchange Act of 1934, as
amended, and subject to such policies as the trustees of the Trust may
determine, the Manager may pay an unaffiliated broker or dealer that provides
"brokerage and research services" (as defined in the Act) to the Manager an
amount of commission for effecting a portfolio investment transaction in excess
of the amount of commission another broker or dealer would have charged for
effecting that transaction.
The U.S. Small Capitalization Series paid brokerage commissions in the
amounts of $197,327.08 for the fiscal year ended March 31, 1994, $137,979 for
the fiscal year ended March 31, 1995 and $220,065.63 for the fiscal year ended
March 31, 1996.
The Japan Series paid brokerage commissions in the amounts of $13,939 for
the fiscal year ended March 31, 1994, $10,763 for the fiscal year ended
March 31, 1995 and $6,509.21 for the fiscal year ended March 31, 1996.
The Japan Series may pay brokerage commissions to Nomura Securities
Company, Inc., which may be deemed to be an "affiliate of an affiliate" of the
Trust, for acting as the Fund's agent on purchases and sales of securities for
the portfolio of the Fund. Securities and Exchange Commission rules require
that commissions paid to an affiliate of an affiliate by the Fund for portfolio
transactions not exceed "usual and customary" brokerage commissions. The rules
define "usual and customary" commissions to include amounts which are
"reasonable and fair compared to the commission, fee or other remuneration
received or to be received by other brokers in connection with comparable
transactions involving similar securities being purchased or sold on a
securities exchange during a comparable period of time." The trustees,
including those who are not "interested persons" of the Trust, have adopted
procedures for evaluating the
-16-
<PAGE>
reasonableness of commissions paid to Nomura Securities and will review these
procedures periodically. In the fiscal years ended March 31, 1994 and 1995, the
Fund paid an aggregate of $9,782 and $2,967 in brokerage commissions to Nomura
Securities. The Fund did not pay any brokerage commissions to Nomura Securities
during its fiscal year ended March 31, 1996.
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES
As more fully described in the Prospectus, the Trust is a diversified open-
end series investment company organized as a Massachusetts business trust. A
copy of the Agreement and Declaration of Trust of the Trust (the "Declaration of
Trust") is on file with the Secretary of The Commonwealth of Massachusetts. The
fiscal year of the Trust ends on March 31. The Trust changed its name to "Barr
Rosenberg Series Trust" from "Rosenberg Series Trust" on August 5, 1996.
Interests in the Trust portfolios are currently represented by shares of
three series, the U.S. Small Capitalization Series, the International Small
Capitalization Series and the Japan Series, issued pursuant to the Declaration
of Trust. The rights of shareholders and powers of the trustees of the Trust
with respect to such shares are described in the Prospectus.
As described in the Prospectus, each Fund is further divided into three
classes of shares designated as Institutional Shares, Adviser Shares and Select
Shares. Each class of shares of each Fund represents interests in the assets of
the Fund and has identical dividend, liquidation and other rights and the same
terms and conditions except that expenses, if any, related to the distribution
and shareholder servicing of a particular class are borne solely by such class
and each class may, at the discretion of the trustees of the Trust, also pay a
different share of other expenses, not including advisory or custodial fees or
other expenses related to the management of the Trust's assets, if these
expenses are actually incurred in a different amount by that class, or if the
class receives services of a different kind or to a different degree than the
other classes. All other expenses are allocated to each class on the basis of
the net asset value of that class in relation to the net asset value of the
particular Fund.
The Declaration of Trust provides for the perpetual existence of the Trust.
The Trust may, however, be terminated at any time by vote of at least two-thirds
of the outstanding shares of the Trust.
VOTING RIGHTS
Shareholders are entitled to one vote for each full share held (with
fractional votes for fractional shares held) and will vote (to the extent
provided herein) in the election of trustees and the termination of the Trust
and on other matters submitted to the vote of shareholders. Shareholders will
vote by individual Fund on all matters except (i) when required by the 1940 Act,
shares shall be voted in the aggregate and not by individual Fund, and (ii) when
the trustees have determined that the matter affects only the interests of one
or more Funds, then only shareholders of such Funds shall be entitled to vote
thereon. Shareholders of one Fund shall not be entitled to vote on matters
exclusively affecting another Fund, such matters including, without limitation,
the adoption of or change in any fundamental policies or restrictions of the
other Fund and the approval of the investment advisory contracts of the other
Fund.
Each class of shares of each Fund has identical voting rights except that
each class has exclusive voting rights on any matter submitted to shareholders
that relates solely to that class, and has separate voting
-17-
<PAGE>
rights on any matter submitted to shareholders in which the interests of one
class differ from the interests of any other class. Each class of shares has
exclusive voting rights with respect to matters pertaining to any distribution
or servicing plan applicable to that class. All three classes of shares of a
Fund will vote together, except with respect to any distribution or servicing
plan applicable to a class or when a class vote is required as specified above
or otherwise by the 1940 Act.
There will normally be no meetings of shareholders for the purpose of
electing trustees, except that in accordance with the 1940 Act (i) the Trust
will hold a shareholders' meeting for the election of trustees at such time as
less than a majority of the trustees holding office have been elected by
shareholders, and (ii) if, as a result of a vacancy in the Board of Trustees,
less than two-thirds of the trustees holding office have been elected by the
shareholders, that vacancy may only be filled by a vote of the shareholders. In
addition, trustees may be removed from office by a written consent signed by the
holders of two-thirds of the outstanding shares and filed with the Trust's
custodian or by a vote of the holders of two-thirds of the outstanding shares at
a meeting duly called for the purpose, which meeting shall be held upon the
written request of the holders of not less than 10% of the outstanding shares.
Upon written request by the holders of at least 1% of the outstanding shares
stating that such shareholders wish to communicate with the other shareholders
for the purpose of obtaining the signatures necessary to demand a meeting to
consider removal of a trustee, the Trust has undertaken to provide a list of
shareholders or to disseminate appropriate materials (at the expense of the
requesting shareholders). Except as set forth above, the trustees shall
continue to hold office and may appoint successor trustees. Voting rights are
not cumulative.
No amendment may be made to the Declaration of Trust without the
affirmative vote of a majority of the outstanding shares of the Trust except
(i) to change the Trust's name or to cure technical problems in the
Declaration of Trust and (ii) to establish, designate or modify new and
existing series, sub-series or classes of shares of any series of Trust
shares or other provisions relating to Trust shares in response to applicable
laws or regulations.
SHAREHOLDER AND TRUSTEE LIABILITY
Under Massachusetts law, shareholders could, under certain circumstances,
be held personally liable for the obligations of the Trust. However, the
Declaration of Trust disclaims shareholder liability for acts or obligations of
the Trust and requires that notice of such disclaimer be given in each
agreement, obligation, or instrument entered into or executed by the Trust or
the trustees. The Declaration of Trust provides for indemnification out of all
the property of the relevant Fund for all loss and expense of any shareholder of
that Fund held personally liable for the obligations of the Trust. Thus, the
risk of a shareholder incurring financial loss on account of shareholder
liability is considered remote since it is limited to circumstances in which the
disclaimer is inoperative and the Fund of which he is or was a shareholder would
be unable to meet its obligations.
The Declaration of Trust further provides that the trustees will not be
liable for errors of judgment or mistakes of fact or law. However, nothing in
the Declaration of Trust protects a trustee against any liability to which the
trustee would otherwise be subject by reason of willful misfeasance, bad faith,
gross negligence, or reckless disregard of the duties involved in the conduct of
his office. The Declaration of Trust also provides for indemnification by the
Trust of the trustees and the officers of the Trust against liabilities and
expenses reasonably incurred in connection with litigation in which they may be
involved because of their offices with the Trust, except if it is determined in
the manner specified in the Declaration
-18-
<PAGE>
of Trust that such trustees are liable to the Trust or its shareholders by
reason of willful misfeasance, bad faith, gross negligence or reckless disregard
of his or her duties. In addition, the Manager has agreed to indemnify each
trustee who is not "an interested person" of the Trust to the maximum extent
permitted by the 1940 Act against any liabilities arising by reason of such
trustee's status as a trustee of the Trust.
OWNERS OF 5% OR MORE OF A FUND'S SHARES
As of the date of this Prospectus, no shares of the International Small
Capitalization Series were issued and outstanding.
The following chart sets forth the names, addresses and percentage
ownership of those shareholders owning beneficially and of record 5% or more of
the outstanding shares of the U.S. Small Capitalization Series as of
July 12, 1996:
<TABLE>
<CAPTION>
Name and Address Number of Shares Percentage Ownership
of Owner Owned of the Fund
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
The Common Fund 736,433.6800 9.94%
450 Poast Road East
Westport, CT 06881-0909
The Nathan Cummings Foundation 762,295.9550 10.29%
1926 Broadway, Suite 600
New York, NY 10023
Board of Pensions
Re: Luther Account 2,005,936.7300 27.08%
Re: Martin Account 226,237.5150 3.05%
Evangelical Lutheran Church in America
800 Marquette Avenue, Suite 1050
Minneapolis, MN 55402-2885
Rosenberg Institutional Equity 983,666.5990 13.28%
Management, Money Purchase Plan
Four Orinda Way, Suite 300E
Orinda, CA 94563
University of Washington 1,296,155.0460 17.50%
Financial Management
Box 351248
Seattle, WA 98195-1248
-19-
<PAGE>
Leland Stanford Junior University 1,396,379.5470 18.85%
c/o Stanford Mangement Company
2770 Sand Hill Road
Menlo Park, CA 94025
</TABLE>
As of July 12, 1996, the Board of Pensions of the Evanglical Lutheran
Church in America may be deemed to control the U.S. Small Capitalization
Series because it possessed beneficial ownership, either directly or
indirectly, of more than 25% of the U.S. Small Capitalization Series' shares.
The following chart sets forth the names, addresses and percentage
ownership of those shareholders owning beneficially and of record 5% or more
of the outstanding shares of the Japan Series as of July 12, 1996:
Name Address % Ownership
- ---- ------- -----------
Rosenberg Institutional 4 Orinda Way 100%
Equity Management Suite 300E
Orinda, CA 94563
As of the date of this Statement of Additional Information, the Manager
owned 100% of the shares of the Japan Series. Therefore, officers and
trustees of the Trust who are partners of the Manager may be deemed to own
beneficially 100% of the shares of such Fund. As of the date of this
Statement of Additional Information, the shares of the Japan Series
represented 2.09% of the total number of shares of the Trust outstanding.
The Manager will be entitled to vote such shares on any matter submitted to
the shareholders of the Trust and on which shareholders of the Japan Series
are entitled to vote.
The officers and trustees of the Trust as a group own less than 1% of
any class of outstanding shares of the Trust, except for shares of the Japan
Series.
DETERMINATION OF NET ASSET VALUE
As indicated in the Prospectus, the net asset value of each Fund share,
with the exception of shares of the Japan Series, is determined on each day on
which the New York Stock Exchange is open for trading. The Trust expects that
the days, other than weekend days, that the New York Stock Exchange will not be
open are Independence Day, Labor Day, Election Day, Thanksgiving Day, Christmas
Day, New Year's Day, President's Day, Good Friday and Memorial Day.
As indicated in the Prospectus, the net asset value of each share of the
Japan Series is determined on each day on which the Tokyo Stock Exchange is open
for trading. The Tokyo Stock Exchange is closed on Saturdays and Sundays. The
holidays for the Tokyo Stock Exchange for the remainder of 1996 are September
15, October 10, November 3 and November 23. If a holiday falls on a Saturday or
Sunday, there is not a holiday substitution. The Exchange is also expected not
to be open on the spring and fall equinox.
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or, if there is no such reported sale, at the most recent quoted
bid price. Price information on listed securities is generally taken from the
closing price on the exchange where the security is primarily traded. Unlisted
securities for which market quotations are readily available are valued at the
most recent quoted bid price, except that debt obligations with sixty days or
less remaining until maturity may be valued at their amortized cost. Exchange-
traded options, futures and options on futures are valued at the settlement
price as determined by the appropriate clearing corporation. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the trustees of the Trust or by persons
acting at their direction.
The procedures for purchasing shares of each of the Funds and for
determining the offering price of such shares are described in the Prospectus.
-20-
<PAGE>
EXPERTS
The financial statements included in this Statement of Additional
Information (see "Financial Statements" below) have been included in reliance on
the report of Price Waterhouse LLP, independent accountants, given on the
authority of said firm as experts in auditing and accounting.
-21-
<PAGE>
BARR ROSENBERG SERIES TRUST
SPECIMEN PRICE-MAKE-UP SHEET
The following are computations of the total offering price per share for
each Series of the Trust based on its net asset value and shares of beneficial
interest outstanding at the close of business on March 31, 1996.
U.S. Small Capitalization Series
Net Assets at Value (Equivalent to 7.60 per share
based on 7,902,208 shares of beneficial interest outstanding) $60,045,522
Offering Price (7.60 x 100/99.75)* = 7.62
Japan Series
Net Assets at Value (Equivalent to 8.77 per share
based on 157,228 shares of beneficial interest outstanding) $1,378,372
Offering Price (8.77 x 100/99.75)* = 8.79
__________________________________
* Represents maximum offering price charged on certain cash purchases. See
"Shareholder Transaction and Fund Expenses" and "Purchase of Shares" in the
Prospectus
A-1
<PAGE>
[LETTERHEAD]
REPORT OF INDEPENDENT ACCOUNTANTS
May 20, 1996
To the Trustees of Rosenberg Series Trust
and the Shareholders of Small Capitalization
Series and Japan Series
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Small Capitalization Series and
Japan Series, each a series of Rosenberg Series Trust (the "Trust") at March 31,
1996, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period then
ended and the financial highlights for each of the five years in the period then
ended, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at March
31, 1996 by correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
F-1
<PAGE>
ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1996
- ---------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
CAPITALIZATION
SERIES JAPAN SERIES
<S> <C> <C>
ASSETS
Investment in securities, at value (cost $46,600,495 and
$1,259,929, respectively) $ 59,537,973 $ 1,350,296
Short-term obligations 790,000 10,875
Foreign currency, at value (cost $10,203) -- 10,052
Cash 527,251 --
Receivable for investments sold 224,941 16,507
Receivable from manager -- 4,752
Dividends and interest receivable 44,097 6,847
Collateral for securities loaned, at value 5,656,375 --
--------------- ---------------
Total assets 66,780,637 1,399,329
--------------- ---------------
LIABILITIES
Payable for investments purchased 925,215 --
Due to custodian bank -- 1,384
Withholding tax payable -- 1,027
Payable for variation margin on open futures contracts -- 1,850
Accrued:
Advisor fee 76,734 --
Audit/tax fee 31,119 15,186
Custodian fee 21,634 1,510
Legal fees 19,324 --
Trustees' fee 4,714 --
Collateral on securities loaned, at value 5,656,375 --
--------------- ---------------
Total liabilities 6,735,115 20,957
--------------- ---------------
NET ASSETS $ 60,045,522 $ 1,378,372
--------------- ---------------
--------------- ---------------
Shares of beneficial interest outstanding
(unlimited number authorized) 7,902,208 157,228
--------------- ---------------
--------------- ---------------
NET ASSET VALUE PER SHARE $ 7.60 $ 8.77
--------------- ---------------
--------------- ---------------
COMPOSITION OF NET ASSETS:
Paid-in capital $ 42,842,480 $ 1,659,315
Undistributed net investment income (distributions
in excess of net investment income) 299,665 6,565
Accumulated net realized gains (losses) on investments,
futures and foreign currency transactions 3,965,899 (363,223)
Net unrealized appreciation on investments and futures
contracts 12,937,478 75,866
Net unrealized depreciation on foreign currency -- (151)
--------------- ---------------
NET ASSETS $ 60,045,522 $ 1,378,372
--------------- ---------------
--------------- ---------------
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
<PAGE>
ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
CAPITALIZATION
SERIES JAPAN SERIES
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of foreign taxes of $467 and $1,780,
respectively) $ 838,009 $ 10,338
Interest 22,853 133
Security lending fee income, net of related expenses 17,196 --
--------------- ---------------
Total income 878,058 10,471
--------------- ---------------
EXPENSES
Advisory fee 514,386 12,093
Audit/tax fees 44,378 24,416
Custodian fees 133,342 57,360
Registration fees 535 126
Legal fees 19,052 386
Trustees' fee 20,693 1,370
Transfer agent fee 3,920 378
--------------- ---------------
Total expenses 736,306 96,129
Less expenses waived or borne by the Manager (157,913) (82,698)
--------------- ---------------
Net expenses 578,393 13,431
--------------- ---------------
Net investment income (loss) 299,665 (2,960)
--------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FUTURES AND FOREIGN CURRENCY
Net realized gain (loss) on:
Investments 16,565,303 (17,837)
Closed futures contracts -- 2,860
Foreign currency transactions -- (2,537)
Net change in unrealized
appreciation (depreciation) on:
Investments 2,415,710 17,606
Open futures contracts -- (14,501)
Foreign currency -- (961)
--------------- ---------------
Net realized and unrealized gain (loss) on investments,
futures and foreign currency 18,981,013 (15,370)
--------------- ---------------
Net increase (decrease) in net assets resulting
from operations $ 19,280,678 $ (18,330)
--------------- ---------------
--------------- ---------------
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
<PAGE>
ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
MARCH 31, 1996
- ---------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAPITALIZATION SERIES JAPAN SERIES
YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31,
1996 1995 1996 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income (loss) $ 299,665 $ 324,509 $ (2,960) $ (3,232)
Net realized gain (loss) on investments
and closed futures contracts 16,565,303 4,831,958 (14,977) 66,766
Net realized gain (loss)
on foreign currency transactions -- -- (2,537) 3,355
Net change in unrealized appreciation on
investments and open futures contracts 2,415,710 1,170,368 3,105 45,132
Net change in unrealized depreciation on
foreign currency -- -- (961) (270)
------------ ----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations 19,280,678 6,326,835 (18,330) 111,751
------------ ----------- ----------- -----------
Distributions to shareholders from:
Net investment income (68,162) (575,600) -- --
In excess of net investment income -- -- (12,014) (2,850)
Net realized gain on investments (13,123,399) (7,601,631) -- --
------------ ----------- ----------- -----------
Net decrease in net assets resulting
from distributions (13,191,561) (8,177,231) (12,014) (2,850)
------------ ----------- ----------- -----------
Share transactions:
Proceeds from shares sold 866,628 2,439,880 -- --
Capital contribution -- -- 12,065 15,114
Issued on reinvestment of distributions 12,388,255 7,180,752 12,014 2,850
Cost of shares redeemed (16,207,993) (3,360,851) -- --
------------ ----------- ----------- -----------
Net increase (decrease) in net assets
resulting from share transactions (2,953,110) 6,259,781 24,079 17,964
------------ ----------- ----------- -----------
Total increase (decrease) in net assets 3,136,007 4,409,385 (6,265) 126,865
NET ASSETS:
Beginning of period 56,909,515 52,500,130 1,384,637 1,257,772
------------ ----------- ----------- -----------
End of period (including undistributed
net investment income (distributions in
excess of net investment income) of
$299,665, $99,620, $6,565 and $12,012,
respectively) $60,045,522 $56,909,515 $1,378,372 $1,384,637
------------ ----------- ----------- -----------
------------ ----------- ----------- -----------
OTHER INFORMATION:
Share transactions:
Sold 117,734 342,062 -- --
Capital contribution -- -- 1,341 1,741
Issued upon reinvestment of
distributions 1,744,825 1,129,049 1,405 331
Redeemed (2,124,487) (437,819) -- --
------------ ----------- ----------- -----------
Net increase (decrease) in
shares outstanding (261,928) 1,033,292 2,746 2,072
Fund shares:
Beginning of period 8,164,136 7,130,844 154,482 152,410
------------ ----------- ----------- -----------
End of period 7,902,208 8,164,136 157,228 154,482
------------ ----------- ----------- -----------
------------ ----------- ----------- -----------
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
<PAGE>
ROSENBERG SERIES TRUST
FINANCIAL STATEMENTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
- ---------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAPITALIZATION SERIES
-----------------------------------------------
YEAR ENDED MARCH 31,
1996 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C>
Net asset value at beginning of period $6.97 $7.36 $12.33 $12.04 $10.74
------- ------ ------- ------- --------
Income (loss) from investment operations
Net investment income (loss) Section .03 .01 .08 .13 .11
Net realized and unrealized gain (loss) on
investments and foreign currency 2.34 .78 1.28 2.31 1.53
------- ------ ------- ------- --------
Total investment operations 2.37 .79 1.36 2.44 1.64
------- ------ ------- ------- --------
Distributions to shareholders from:
Net investment income (.01) (.08) (.14) (.10) (.08)
In excess of net investment income -- -- -- -- --
Net realized gain on investments (1.73) (1.10) (6.19) (2.05) (.26)
------- ------ ------- ------- --------
$(1.74) (1.18) (6.33) (2.15) (.34)
------- ------ ------- ------- --------
Net asset value at end of period $7.60 $6.97 $7.36 $12.33 $12.04
------- ------ ------- ------- --------
------- ------ ------- ------- --------
Total return(1) 35.69% 12.21% 12.83% 22.51% 15.79%
Net assets, end of period (000) $60,046 $56,910 $52,500 $69,458 $119,343
Ratio of net expenses to average daily net assets .90% .90% .90% .90% .90%
Ratio of net expenses to average daily net assets
before reimbursement 1.15% 1.17% 1.14% 1.03% .94%
Ratio of net investment income (loss) to average
daily net assets .47% .60% .60% .59% .66%
Portfolio turnover rate 71.87% 57.27% 59.61% 32.61% 59.04%
</TABLE>
<TABLE>
<CAPTION>
JAPAN SERIES
------------------------------------
YEAR ENDED MARCH 31,
1996 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C>
Net asset value at beginning of period $8.96 $8.25 $6.94 $6.15 $ 7.87
------ ------ ------ ------ ------
Income (loss) from investment operations
Net investment income (loss) Section .04 .10 (.01) .02 .04
Net realized and unrealized gain (loss) on
investments and foreign currency (.15) .63 1.41 .84 (1.69)
------ ------ ------ ------ ------
Total investment operations (.11) 0.73 1.40 .86 (1.65)
------ ------ ------ ------ ------
Distributions to shareholders from:
Net investment income -- -- -- (.07) (.07)
In excess of net investment income (.08) (.02) (.09) -- --
Net realized gain on investments -- -- -- -- --
------ ------ ------ ------ ------
(.08) (.02) (.09) (.07) (.07)
------ ------ ------ ------ ------
Net asset value at end of period $8.77 $8.96 $8.25 $6.94 $6.15
------ ------ ------ ------ ------
------ ------ ------ ------ ------
Total return(1) (1.2%) 8.86% 20.35% 14.24% (21.09%)
Net assets, end of period (000) $1,378 $1,385 $1,258 $1,044 $ 915
Ratio of net expenses to average daily net assets 1.00% 1.00% 1.00% .70% .59%
Ratio of net expenses to average daily net assets
before reimbursement 7.16% 7.02% 7.63% 10.70% 8.56%
Ratio of net investment income (loss) to average
daily net assets (.22%) (.20)% (.26%) .37% .20%
Portfolio turnover rate 60.60% 57.10% 74.60% 162.10% 53.13%
</TABLE>
Section Net of fees and expenses waived or borne by the Manager which amounted
to $.02, $.01, $.05, $.03, and $.01 per share, respectively, for Small
Capitalization Series and $.38, $.67, $.49, $.59 and $1.64 per share,
respectively, for Japan Series.
(1) Total return would have been lower had certain fees and expenses not
been waived.
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
<PAGE>
ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Rosenberg Series Trust (the "Trust") is an open-end diversified management
investment company offering two portfolios, Small Capitalization Series and
Japan Series, (the "Funds") or individually (the "Fund") with differing
objectives and strategies. The Trust was established as a Massachusetts
business trust under the laws of Massachusetts on April 1, 1988.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual amounts could differ from those estimates.
Following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements.
SECURITY VALUATION
Portfolio securities listed on a national exchange or exchanges for which
market quotations are available are valued at their last quoted sale price
on each business day. If there is no such reported sale, the most recently
quoted bid price is used. Debt obligations with sixty days or less
remaining until maturity are valued at their amortized cost. Unlisted
securities for which market quotations are readily available are valued at
the most recent quoted bid price. Securities quoted in foreign currencies
are translated into U.S. dollars based upon the prevailing exchange rate at
the close of each business day. Other assets and securities for which no
quotation is readily available are valued at fair value as determined in
good faith by the Trustees.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (the date the
order to buy or sell is executed). Corporate actions (including cash
dividends) are recorded on the ex-date or as soon after the ex-date as the
fund becomes aware of such action, net of any non-refundable tax
withholdings. Interest income is recorded on the accrual basis and is
adjusted for the accretion of discounts. In determining the net gain or
loss on securities sold, the cost of securities is determined on the
identified cost basis.
FOREIGN CURRENCY TRANSACTIONS
All monetary items denominated in foreign currencies are translated to U.S.
dollars based upon the prevailing exchange rate at the close of each
business day. Net realized gains and losses on foreign currency
transactions represent net gains and losses from currency gains and losses
realized between the trade and settlement dates on securities transactions,
and the difference between the amount of net investment income accrued and
the U.S. dollar amount actually received. Further, the effects of changes
in foreign currency exchange rates on investments in securities are not
segregated in the Statement of Operations from the effects of changes in
market prices of those securities, but are included with the net realized
and unrealized gain or loss on investments.
EXPENSES
Expenses specific to an individual Fund are charged to that Fund. Common
expenses are allocated to each Fund based on their comparative net asset
values.
<PAGE>
ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Distributions to shareholders are recorded on the ex-dividend date.
Distributions are made on a tax basis which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions and wash sales for
book and tax purposes. Permanent book and tax basis differences will
result in reclassifications to capital accounts.
OTHER
Japan Series pursues its objectives by investing in Japanese securities.
There are certain additional risks involved when investing in foreign
securities that are not inherent with investments in domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions.
The Japan Series may purchase futures contracts on the Tokyo Stock Price
Index ("TOPIX") or the NIKKEI 225 Index ("NIKKEI") to manage its exposure
to the Tokyo Stock Exchange. Buying futures tends to increase the Fund's
exposure to the underlying instrument. The use of futures contracts
involves certain risks, which include (1) the imperfect correlation between
the price movement of the contracts and the underlying securities, or (2)
the inability to close out positions due to different trading hours, or the
temporary absence of a liquid market, for either the contract or the
underlying securities. Futures contracts (secured by securities deposited
with brokers as "initial margin") are valued at the settlement price
established each day by the board of trade or exchange on which they are
traded. Changes in initial settlement value (represented by cash paid to
or received from brokers as "variation margin") are accounted for as
unrealized appreciation (depreciation). When futures contracts are closed,
the difference between the opening value at the date of purchase and the
value at closing is recorded as realized gains and losses in the Statement
of Operations. See Note 9 for all open future contracts held as of March
31, 1996.
2. MANAGEMENT FEE
Rosenberg Institutional Equity Management (the "Manager") provides advisory
and management services to the Funds under separate management contracts.
Compensation of the Manager for Small Capitalization Series is payable
quarterly at the annual rate of .80% of the Fund's average daily net
assets. The Manager has agreed with Small Capitalization Series to reduce
its fee until further notice to the extent necessary to limit the Fund's
annual expenses (including the management fee but excluding brokerage
commissions and transfer taxes) to .90% of the Fund's average daily net
assets.
Compensation of the Manager for Japan Series is payable quarterly at the
annual rate of 0.90% of the Fund's average daily net assets. The Manager
has agreed with the Japan Series to reduce its fee until further notice to
the extent necessary to limit the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes) to
1.00% of the Fund's average daily net assets.
2
<PAGE>
ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
During the fiscal year, the Manager, who is also the sole shareholder in
the Japan Series, made a capital contribution of $12,065 in return for
1,341 shares of the fund. This contribution represented the forgiveness of
the reimbursements owed by the fund to the Manager at March 31, 1995. The
Manager also made a capital contribution of $15,114 in return for 1,741
shares of the Fund during the fiscal year ended March 31, 1995. This
contribution represented the forgiveness of the cumulative reimbursements
owed by the fund to the Manager at March 31, 1994.
3. FEDERAL TAXATION
It is each Fund's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
all of its taxable income, including any net realized gain on investments,
to its shareholders. Therefore, no provision is made for federal income
taxes. As of March 31, 1996, Japan Series had a capital loss carryover of
approximately $368,407 available to offset future realized capital gains,
of which $262,527, $69,379, $15,997 and $20,504 will expire on March 31,
2000, March 31, 2001, March 31, 2002, and March 31, 2004, respectively. In
order to meet certain excise tax distribution requirements, each Fund is
required to measure and distribute annually, net capital gains and net
foreign currency gains realized during a twelve-month period ending
October 31. In connection with this, each Fund is permitted for tax
purposes to defer into its next fiscal year any net capital losses or net
foreign currency losses incurred between November 1, 1995 and the end of
its fiscal year. The Japan Series has elected to defer to its fiscal year
ending March 31, 1997 approximately $9,032 of losses occurring during the
period November 1, 1995 to March 31, 1996.
For federal tax purposes at March 31, 1996 the amounts of unrealized
appreciation/ depreciation and the cost of portfolio securities were as
follows:
UNREALIZED UNREALIZED NET UNREALIZED COST OF
APPRECIATION DEPRECIATION APPRECIATION SECURITIES
Small
Capitalization
Series $15,281,998 $2,375,056 $12,906,942 $47,421,031
Japan Series $129,080 $38,713 $90,367 $1,270,804
4. IN-KIND TRANSACTIONS
For the year ended March 31, 1996, the Small Capitalization Series realized
gains from in-kind redemptions of $717,144.
3
<PAGE>
ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
5. SECURITY PURCHASES AND SALES
For the period ended March 31, 1996 (excluding short term securities and
foreign currency):
PURCHASES OF SALES OF
PORTFOLIO SECURITIES PORTFOLIO SECURITIES
Small Capitalization Series $ 46,439,623 $ 61,744,837
Japan Series $ 805,419 $ 824,191
6. PRINCIPAL SHAREHOLDERS
Fund shareholders who each held in excess of 10% of the relevant Fund's
shares outstanding at March 31, 1996 held the following aggregate
percentages of the respective Fund's shares:
FUND % OF FUND'S SHARES
Small Capitalization 72
Japan 100
7. TRUSTEE FEES
The unaffiliated Trustees each receive an annual Trustee's fee of $9,000
plus a $500 meeting fee for each Trustee meeting attended for each Fund in
the series, allocated 98.00% to the Small Capitalization Fund and 2.00% to
the Japan Fund.
8. SALES AND REDEMPTIONS OF SHARES
Small Capitalization Series and Japan Series charge a purchase premium
equal to .25% and .50%, respectively, of the net asset value of the shares
purchased. The premium on redemptions is .25% for Small Capitalization
Series and .50% for Japan Series. All purchase and redemption premiums are
paid to and retained by the relevant Fund. For the years ended March 31,
1995, and March 31, 1996, total purchase premiums retained by Small
Capitalization Series were approximately $4,978 and $2,161, respectively.
For the years ended March 31, 1995 and March 31, 1996, total redemption
premiums retained by Small Capitalization Series were approximately $8,423
and $35,008, respectively. Purchase premiums are added to proceeds from
shares sold and redemption premiums netted against cost of shares redeemed
for financial statement presentation purposes. Purchase and redemption
premiums are not charged on in-kind transactions and reinvested
distributions or dividends.
4
<PAGE>
ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
9. FUTURES CONTACTS
A summary of outstanding short futures contracts at March 31, 1996 for the
Japan Series is as follows:
NET UNREALIZED
NUMBER OF APPRECIATION
CONTRACTS TYPE EXPIRATION DATE CONTRACT VALUE (DEPRECIATION)
--------- ----- --------------- ------------- --------------
2 NIKKEI 225 June 1996 $ 215,450 $(14,501)
10. SECURITY LENDING PROGRAM
Under the Security Lending Program for the year ended March 31, 1996,
securities held by the Small Capitalization Series were loaned by State
Street Bank, as agent, to certain brokers (the "Borrowers"). The Borrowers
provided cash as collateral against loans in an amount at least equal to
100% of the market value of the loaned securities.
At March 31, 1996, the value of securities loaned amounted to $5,227,296
against which cash collateral of $5,656,375 was held. Cash provided is
invested in short-term investments. A portion of the income generated upon
investment of the collateral is remitted to the Borrowers, and the
remainder is allocated between the Small Capitalization Series and State
Street Bank in its capacity as lending agent. The Small Capitalization
Series bears the risk of loss with respect to the investment of the cash
collateral.
11. LINE OF CREDIT
A line of credit in the amount of $250,000 has been established by the
custodian for the purposes of foreign exchange contracts on behalf of Japan
Series. The maximum daily settlement amount under the line of credit is
$125,000.
5
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - 98.7% VALUE
AEROSPACE - 0.8%
6,700 Analysis & Technology Inc. $ 85,006
19,900 Banner Aerospace Inc.* 116,913
3,700 Curtiss Wright Corp. 192,400
1,700 Tech Sym Corp.* 60,563
------------
454,882
------------
AIR TRAVEL - 0.7%
5,000 Hudson General Corp. 216,875
9,900 Petroleum Helicopters Inc. 138,600
2,300 PS Group Inc.* 25,588
3,100 Tower Air Inc. 17,438
------------
398,501
------------
ALUMINUM - 0.1%
1,200 International Aluminum Corp. 32,100
------------
APPAREL & TEXTILES - 1.8%
16,700 CML Group Inc. 52,188
5,100 Dyersburg Corp. 22,313
7,900 Fabri-Centers of America - Class A* 90,850
7,900 Fabri-Centers of America - Class B* 91,838
5,500 Goodys Family Clothing Inc.* 48,813
10,900 Guilford Mills Inc. 267,050
5,000 Hampshire Group Ltd.* 53,750
7,900 Hyde Athletic Industries Inc.* 28,638
4,100 K-Swiss Inc. 34,338
9,700 Kellwood Co. 150,350
6,500 Morningstar Group Inc.* 63,477
1,570 Nitches Inc.* 8,243
9,400 Oneida Ltd. 160,975
8,100 Oshkosh B Gosh Inc. 123,525
------------
1,196,348
------------
1
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
AUTO PARTS - 0.5%
1,700 Douglas Lomason Co. $ 19,125
7,400 Excel Industries Inc. 84,175
1,000 Federal Screw Works 23,250
1,000 Republic Automotive Parts Inc.* 15,250
4,800 Stant Corp. 57,600
5,400 Trak Auto Corp.* 109,350
------------
308,750
------------
AUTOMOBILES - 0.3%
13,600 Oshkosh Truck Corp. 205,700
------------
BANKS - 4.1%
1,800 American Bancorp Ohio 41,850
5,500 Bank New Hampshire Corp. 235,125
3,100 Broad National Bancorp* 33,713
3,900 California State Bank Covina 54,600
2,700 Capitol Bancorp Ltd. 28,013
5,500 Commercial Bank of New York 56,375
4,200 CPB Inc. 142,800
4,840 CVB Financial Corp. 64,735
3,500 Evergreen Bancorp Inc. 75,250
4,200 GBC Bancorp 92,400
5,600 Hancock Holding Co. 200,200
1,836 Imperial Bancorp* 44,064
1,000 Iroquois Bancorp Inc. 14,500
10,000 Magna Bancorp Inc. 310,000
7,000 NS Bancorp Inc. 276,500
9,300 New York Bancorp Inc. 218,550
5,900 Newmil Bancorp Inc. 39,825
5,500 North Side Savings Bank 191,125
1,050 Northrim Bank Alaska 10,500
1,000 Peoples Savings Financial Corp. 20,250
6,100 Poncebank 87,688
1,000 Progressive Bank Inc.* 27,000
4,000 River Forest Bancorp 116,000
2,100 Sandwich Co. Operative Bank 43,575
2
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
BANKS (CONTINUED)
2,300 Sterling Bancorp $ 29,613
40 Union Planters Corp. 1,210
3,900 Warren Bancorp Inc. 40,950
------------
2,496,411
------------
BROADCASTING - 1.0%
11,100 Atlantic Tele Network Inc.* 249,750
6,100 Bet Holdings Inc. - Class A* 170,038
4,900 Datron Systems Inc. California* 58,188
9,000 Todd Ao Corp - Class A 123,750
------------
601,726
------------
BUILDING CONSTRUCTION - 0.9%
12,900 Apogee Enterprises Inc. 280,575
6,900 Apogee Inc.* 48,300
4,900 Green A P Industries Inc. 85,750
4,699 Myr Group Inc. 49,927
200 NCI Building Systems Inc.* 6,850
4,200 Nortek Inc.* 50,925
------------
522,327
------------
BUSINESS SERVICES - 5.6%
9,000 ABM Industries Inc.* 298,125
6,600 Advanced Marketing Services Inc. 77,550
18,700 Advo Inc. 182,325
1,000 Barra Inc.* 18,875
4,100 Berlitz International Inc.* 66,625
10,400 Bowne & Co Inc. 189,800
1,300 Business Records Corp Holding Co.* 48,100
5,900 Computer Language Research Inc. 95,875
13,800 Computer Task Group Inc. 281,175
5,550 Comshare Inc.* 127,650
12,412 Electro Rent* 294,785
9,000 Failure Group Inc.* 49,500
4,900 FDP Corp.* 46,550
3
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
BUSINESS SERVICES (CONTINUED)
4,600 Gilbert Association Inc. $ 51,750
7,800 GZA Geoenvironmental* 26,325
8,100 Hospital Staffing Services Inc.* 24,300
4,900 Kinder Care Learning Centers Inc.* 61,250
5,850 Kronos Inc.* 149,175
2,200 LCS Industries Inc. 51,150
15,200 Logicon Inc. 484,500
400 Market Facts Inc. 5,100
5,300 Paris Business Forms Inc.* 28,488
7,900 PCA International Inc. 99,244
5,900 Pinkertons Inc. New* 128,325
1,900 Roto Rooter Inc. 58,425
5,700 SEI Corp. 128,250
3,800 Serv Tech Inc.* 22,325
900 Supercuts Inc.* 4,725
4,400 Tro Learning Inc.* 59,950
5,300 Union Corp.* 93,413
5,500 URS Corp New* 37,125
17,500 Weston (Roy F) Inc. New* 87,500
------------
3,378,255
------------
CHEMICALS - 2.0%
4,653 Aceto Corp. 73,285
4,300 AEP Industries Inc.* 104,275
2,530 American Vanguard Corp. 32,890
9,100 Bio Rad Laboratories Inc.* 382,200
3,700 Cambrex Corp. 170,663
4,600 NCH Corp. 260,475
15,200 Univar Corp. 171,000
------------
1,194,788
------------
COMPUTERS & BUSINESS EQUIPMENT - 3.7%
8,000 Adage Inc. (NWE) 32,500
11,000 Advanced Logic Research Inc. 72,875
800 Applied Magnetics Corp.* 12,500
9,014 Bell Industries* 192,674
10,200 Control Data Systems Inc.* 202,088
6,150 DH Technology Inc.* 147,600
8,400 Digital Systems International Inc.* 128,625
4
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
9,596 Dynamics Research Corp.* $ 67,172
6,000 Franklin Electronic Publishers Inc.* 147,750
8,900 General Binding Corp. 193,575
10,500 Gerber Scientific Inc. 157,500
12,200 Gradco Systems* 41,175
7,000 Macneal Schwendler Corp. 99,750
10,500 National Computer Systems Inc. 212,625
2,800 Nu Kote Holding Inc.* 49,350
15,000 Par Technology* 219,375
9,300 Volt Information Sciences Inc.* 223,200
------------
2,200,334
------------
CONSTRUCTION & MINING EQUIPMENT - 1.2%
4,300 Eastern Co. 51,600
1,300 Gencor Industries Inc. 10,725
6,400 JLG Industries Inc. 292,800
20,500 Kaman Corp. 222,938
5,500 Valmont Industries Inc. 165,000
------------
743,063
------------
CONSTRUCTION MATERIALS - 1.1%
2,800 Ameron Inc.* 104,650
5,500 Butler Manufacturing Co. 181,500
4,400 Lone Star Industries Inc. 132,000
7,000 Noland Co. 126,000
200 Patrick Industries Inc. 2,550
1,300 Research Inc. 9,425
7,400 Strober Organization Inc.* 32,375
9,000 Wolohan Lumber Co. 87,750
------------
676,250
------------
CONTAINERS & GLASS - 0.1%
2,400 Continental Can Inc.* 36,300
------------
5
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
COSMETICS & TOILETRIES - 0.2%
39,200 Cascade International Inc. (a) $ 0
5,300 Nutramax Products Inc.* 53,663
8,600 Tranzonic Companies 91,375
------------
145,038
------------
DOMESTIC OIL - 0.6%
7,600 American Oilfield Divers Inc.* 61,750
4,500 Energy Ventures Inc.* 119,813
4,200 Howell Corp. 57,225
4,500 Matrix Service Co.* 27,563
12,200 Maynard Oil Co.* 86,925
2,300 McFarland Energy Inc.* 19,550
------------
372,826
------------
DRUGS & HEALTHCARE - 6.0%
3,000 Alpharma Inc. - Class A 69,750
22,200 Applied Bioscience International Inc.* 202,575
4,500 Barr Labs Inc.* 110,813
5,600 Candela Corp.* 39,900
3,800 Chemed Corp.* 141,075
9,700 Collagen Corp.* 215,825
3,900 Comnet Corp.* 39,000
4,866 Del Labs Inc. 138,681
2,500 EZ Em Inc.* 28,125
6,517 EZ Em Inc. - Class B* 68,429
5,100 Fischer Imaging Corp.* 73,950
15,900 Gamma Biologicals Inc. 67,575
32,525 Geriatric & Medical Cos. Inc.* 67,083
15,800 Health Images Inc. 116,525
15,500 Ibah Inc.* 108,500
8,900 Life Technologies Inc. 249,200
6,900 Maxxim Medical Inc.* 130,238
2,400 MDT Corp.* 10,950
5,600 Medex Inc. 66,500
5,100 National Home Health Care Co.* 31,238
13,800 Option Care Inc.* 60,375
6,700 PCI Services Inc.* 107,200
6,900 Quest Med Inc.* 83,663
11,300 Regency Health Services* 127,125
6
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
DRUGS & HEALTHCARE (CONTINUED)
2,900 RLI Corp. $ 71,775
7,700 Spacelabs Inc.* 179,025
3,000 Spanish American Medical Sysems Inc. 19,125
6,200 Staff Builders Inc. Class A* 18,406
2,100 Sunrise Med Inc.* 29,400
2,600 Syncor International Corp. 17,388
8,400 U S Homecare Corp.* 16,800
13,000 Universal Health Services Inc.* 690,625
8,900 Universal Standard Medical Labs. 30,038
7,800 Vital Signs Inc. 191,100
------------
3,617,977
------------
ELECTRIC UTILITIES - 0.4%
10,600 TNP Enterprises Inc. 245,125
------------
ELECTRICAL EQUIPMENT - 4.6%
3,600 Amistar Corp.* 16,931
9,000 Bel Fuse Inc.* 165,375
4,700 Charter Power Systems Inc. 126,900
6,300 Cohu Inc. 157,500
8,600 Core Industries Inc. 126,850
15,900 Esco Electronics Corp.* 214,650
7,700 Fluke Corp. 293,563
7,700 Genlyte Group Inc.* 61,600
14,200 Hathaway Instruments Inc. 26,625
4,600 Hughes Supply Inc. 131,675
15,100 Jabil Circuit Inc.* 133,069
10,400 Keithley Instruments Inc. 145,600
12,100 Kuhlman Corp. 181,500
1,600 Lamson & Sessions Co.* 14,800
4,800 Milgray Electronics Inc.* 46,500
9,300 Napco Security Systems Inc.* 32,550
6,400 Park Electrochemical Corp. 190,400
10,000 Programming & Systems Inc. (a) 0
3,100 PSC Inc.* 23,638
11,800 Rexel Inc.* 144,550
10,300 Richardson Electronics Ltd. 117,163
7
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
ELECTRICAL EQUIPMENT (CONTINUED)
3,300 Robbins & Myers Inc. $ 113,025
6,500 Scotsman Industries Inc. 116,188
10,300 Thomas Industries Inc. 216,300
------------
2,796,952
------------
ELECTRONICS - 5.5%
10,600 Bairnco Corp. 71,550
32,900 Baldwin Technology Inc.* 137,769
6,900 BEI Electronics Inc. 62,100
5,400 Brite Voice Systems Inc.* 99,900
900 Brooktree Corp.* 8,100
9,600 Cherry Corp.* 86,400
4,900 Circuit Systems Inc.* 24,500
18,600 Computer Products Inc.* 251,100
4,400 CTS Corp. 168,850
5,500 Cubic Corp. 147,813
9,200 Dynatech Corp.* 216,200
1,500 Elxsi Corp.* 9,750
7,600 Exar Corp.* 112,100
5,800 Galileo Electro Optics Corp.* 92,075
14,500 Genicom Corp.* 88,813
10,700 Hadco Corp.* 326,350
3,100 Herley Industries Inc.* 26,350
6,400 Hologic Inc.* 145,600
7,400 IEC Electronics* 62,900
600 Integrated Circuit Systems Inc.* 5,850
7,700 Inter Tel Inc.* 139,563
7,700 Ipc Information Systems Inc.* 180,950
6,700 Kulicke & Soffa Industries Inc.* 105,525
8,400 Marquette Electronics - C1ass A* 162,750
14,100 Moog Inc.* 253,800
4,000 New Brunswick Scientific Inc. 26,500
4,800 Newport Corp. 43,800
1,000 Reliability Inc.* 7,125
5,800 Robinson Nugent Inc. 29,725
7,300 Sound Advice Inc.* 11,863
3,300 TCI International Inc.* 23,100
8
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
ELECTRONICS (CONTINUED)
3,600 Video Display Corp.* $ 18,900
4,300 Wyle Electronics 148,888
------------
3,296,559
------------
ENVIRONMENTAL - 0.1%
6,900 Harding Lawson Associates Group* 41,400
5,700 MFRI Inc.* 36,338
------------
77,738
------------
FINANCIAL SERVICES - 5.3%
6,840 Albank Financial Corp. 197,505
300 Amresco Inc. 4,388
7,700 Atlanta Sosnoff Cap Corp. 77,000
11,100 Capital Re Corp. 399,600
7,600 Capitol American Finanacial Corp. 189,050
1,000 CB Bancshares Inc.* 30,750
5,300 Charles JW Financial Services Inc.* 24,513
5,500 Dime Financial Corporation 73,563
16,900 Enhance Financial Services Group Inc. 466,863
1,500 Financial Security Corp.* 39,000
7,000 First Financial Caribbean Corp. 138,250
2,000 First Mortgage Corp.* 12,500
3,630 Foothill Independent Bancorp* 32,670
2,300 Granite State Bankshares Inc. 40,538
2,100 Haverfield Corp. 31,500
400 Hawthorne Financial Corp.* 1,950
8,000 Hoenig Group Inc.* 26,000
1 Investors Financial Services Corp.* 14
5,800 Jefferies Group Inc. 390,775
9,100 JSB Financial Inc. 305,988
8,400 Mainstreet Bankgroup Inc. 134,400
6,200 Nab Asset Corp.* 32,938
2,000 Premier Financial Services Inc. 19,000
4,850 Right Management Consultants Inc.* 143,075
4,200 Simmons First National Corp. - Class A 139,650
8,900 Southwest Securities Group Inc. 106,800
4,800 Vermont Financial Services Corp. 157,200
------------
3,215,480
------------
9
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
FOOD & BEVERAGES - 1.8%
3,300 Alico Inc. $ 74,250
7,100 Alpine Lace Brands Inc.* 46,150
3,100 Buttrey Food & Drug Stores* 24,025
14,100 Carr Gottstein Foods Co.* 72,263
800 Farmer Bros Co.* 106,400
10,500 FoodBrands America Inc.* 168,000
14,000 Golden Poultry Inc. 138,250
6,900 J & J Snack Foods Corp.* 81,938
8,000 Orange Co. Inc. New 73,000
700 Seaboard Corp. 166,600
7,400 Tasty Baking Corp. 82,325
6,000 Western Beef Inc.* 44,250
------------
1,077,451
------------
GAS & PIPELINE UTILITIES - 0.5%
5,400 Connecticut Energy Corp. 103,275
4,000 Energynorth Inc. 77,000
6,000 Philadelphia Suburban 138,750
------------
319,025
------------
GAS EXPLORATION - 1.6%
7,300 Alamco Inc. 68,438
14,800 Cabot Oil & Gas Corp.* 210,900
18,100 Coho Energy Inc.* 113,125
11,700 Comstock Resources Inc.* 59,963
2,800 Global Industries Inc.* 58,800
1,900 Hallwood Energy Corp. 15,200
14,500 Key Production Inc.* 79,750
100 Phoenix Resource Companies Inc. 2,388
9,100 Southern Union Company New* 186,550
10,780 Swift Energy Co.* 141,488
3,000 USX Delhi Group* 36,375
------------
972,977
------------
10
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
GOLD - .1%
18,100 Atlas Corp.* $ 24,888
------------
HOMEBUILDERS - 1.2%
6,500 Beazer Homes USA Inc.* 113,750
800 Champion Enterprises Inc.* 22,900
6,200 Continental Homes Holding Corp. 142,600
3,000 Major Realty Corp.* 5,625
14,700 Mego Financial Corp.* 132,300
12,800 Redman Industries New* 259,200
6,400 Starrett Corporation 68,800
------------
745,175
------------
HOTELS & RESTAURANTS - 4.4%
4,600 Back Bay Restaurant Group* 16,675
13,000 Chart House Enterprises Inc.* 79,625
13,000 CKE Restaurants Inc. 217,750
26,556 Consolidated Products Inc.* 438,174
5,700 El Chico Restaurants Inc.* 50,588
2,000 Foodmaker Inc.* 14,000
7,354 Frischs Restaurants Inc. 63,428
5,100 Harveys Casino Resorts* 87,338
8,100 Krystal Co.* 36,450
4,700 Lubys Cafeterias Inc. 108,688
18,300 Marcus Corp. 482,663
23,800 NPC International Inc. 214,200
6,500 O'Charleys Inc.* 89,375
14,500 Piccadilly Cafeterias Inc. 135,938
31,000 Ryans Family Steak Houses Inc.* 279,000
11,500 Sands Regent 41,688
4,100 Sbarro Inc. 103,525
2,000 Showbiz Pizza Time Inc.* 38,500
16,500 Sizzler International Inc. 51,563
2,200 Sonesta International Hotels Corp. 17,050
8,100 Spaghetti Warehouse Inc.* 40,500
3,000 TCBY Enterprises Inc. 14,625
3,800 WSMP Inc.* 18,525
------------
2,639,868
------------
11
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
HOUSEHOLD APPLIANCES FURNISHING - 1.1%
7,200 Aaron Rents Inc. $ 156,600
1,200 American Biltrite Inc. 22,650
7,700 Campo Electronics Appliances* 22,258
8,500 Chromcraft Revington Inc.* 205,063
6,600 Fedders USA Inc. 42,900
7,200 International Jensen Inc.* 61,200
2,000 Shelby Williams Industries Inc 21,500
7,800 Southern Electronics Corp.* 42,413
8,000 Tops Appliance City Inc.* 20,125
7,520 Virco Manufacturing Co. 69,560
------------
664,269
------------
HOUSEHOLD PRODUCTS - 0.7%
2,000 Ekco Group Inc.* 11,750
13,900 Mikasa Inc.* 165,063
4,900 Starrett (L.S.) Co. - Class A 122,500
7,100 Stepan Chemical Co. 137,563
------------
436,876
------------
INDUSTRIAL MACHINERY - 4.5%
8,900 Ampco Pittsburgh Corp. 115,700
1,200 Applied Power Inc. 39,150
1,300 Badger Meter Inc. 35,100
2,800 Barnes Group Inc. 125,650
11,300 Bearings Inc. 320,638
8,000 Brown & Sharpe Manufacturing Co.* 80,000
7,800 Central Tractor Farm & Country Inc.* 126,750
9,900 Daniel Industries Inc. 133,650
11,500 Esterline Technologies Corp.* 257,313
11,300 Gehl Co.* 88,988
2,100 GNI Inc.* 10,500
12,800 Graco Inc. 249,600
5,500 Hurco Company Inc.* 18,563
10,600 Manitowoc Inc. 333,900
7,900 Measurex Corp. 229,100
6,600 Mestek Inc.* 89,925
2,100 Moore Products Co.* 34,125
2,100 Oilgear Co. 32,550
11,700 Standex International Corp. 352,463
12
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
INDUSTRIAL MACHINERY (CONTINUED)
1,500 TSI Inc. Minn. $ 26,625
6,000 Worldtex Inc.* 29,250
------------
2,729,540
------------
INSURANCE - 3.2%
4,400 Central Reserve Life Corp. 39,600
4,900 Citation Insurance Group* 22,050
6,100 First American Financial Corp. 175,375
4,700 Harleysville Group Inc. 125,725
14,800 Home Ben Corp. 370,000
4,600 Kansas City Life Insurance Co. 243,800
11,100 Lawyers Title Corp. 208,125
8,200 Meridian Insurance Group Inc. 120,950
1,000 Midland Co. 48,875
2,000 National Western Life Insurance - Class A* 126,000
8,000 Stewart Information Services 158,000
11,000 Washington National Corp. 294,250
100 Zenith National Insurance Corp.* 2,388
------------
1,935,138
------------
INTERNATIONAL OIL - 0.6%
18,400 Global Natural Resources Inc.* 243,800
200 Plexus Corp.* 2,600
6,450 World Fuel Services Corp. 109,650
------------
356,050
------------
INVESTMENT COMPANIES - 2.4%
3,100 Advest Group Inc. 29,838
2,200 Allied Capital Commercial Corp. 41,525
7,800 Eaton Vance Corp. 253,500
2,205 First Albany Companies Inc. 22,877
1,900 ICC Industries Inc.* 64,600
9,700 Inter-Regional Finance Group Inc. 217,038
5,500 Interstate/Johnson Lane Inc.* 62,563
13
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
INVESTMENT COMPANIES (CONTINUED)
9,200 Mcdonald & Co. Investments Inc. $ 177,100
16,875 Morgan Keegan Inc. 208,828
15,100 Raymond James Financial Inc. 339,750
------------
1,417,619
------------
LEISURE TIME - 2.1%
4,000 American Casino Enterprises* 9,250
19,900 Aztar Corp.* 169,150
4,800 Baldwin Piano & Organ Co.* 64,800
8,400 Carmike Cinemas Inc.* 191,100
17,900 Dick Clark Productions Inc.* 219,275
7,300 Donnely Corp. 100,375
5,700 Escalade Inc.* 27,075
1,900 GC Cos Inc.* 72,200
11,900 Jackpot Enterprises Inc. 133,875
5,000 Johnson Worldwide Association Inc.* 87,500
4,200 Medalist Industries Inc.* 60,375
4,100 Sportmart Inc.* 21,013
10,600 Trans World Entertainment Corp.* 34,450
2,000 TSR Inc.* 11,250
7,600 Video Lottery Technologies Inc.* 50,350
------------
1,252,038
------------
MANUFACTURING - 0.9%
32,500 Griffon Corp.* 304,688
5,800 Plantronics Inc New* 218,950
------------
523,638
------------
MINING - 0.6%
16,100 Dravo Corp.* 211,313
5,200 Penn Virginia Corp. 176,800
------------
388,113
------------
14
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
MOBILE HOMES - 1.5%
12,750 Cavalier Homes Inc. $ 197,625
8,700 Coachmen Industries Inc. 228,375
4,900 Liberty Homes Inc. 53,900
1,300 Rexhall Industries Inc.* 8,613
12,200 Skyline Corp. 300,425
5,500 Thor Industries Inc. 103,125
------------
892,063
------------
NON-FERROUS METALS - 0.8%
400 Chase Brass Industries Inc.* 5,400
13,566 Commercial Metals Co. 390,023
6,900 Lindberg Corp. 69,000
------------
464,423
------------
OFFICE FURNISHINGS & SUPPLIES - 0.7%
9,000 American Business Products Inc. 203,625
5,800 Hunt Manufacturing Co. 88,450
6,400 Nashua Corp.* 82,400
1,294 United Stationers Inc.* 29,115
------------
403,590
------------
PAPER - 0.3%
6,700 Mosinee Paper Corp. 211,050
------------
PETROLEUM SERVICES - 3.3%
9,600 Atwood Oceanics Inc.* 345,600
3,000 ICO Inc.* 15,375
8,200 Lufkin Industries Inc. 149,650
36,200 Parker Drilling Co.* 253,400
18,500 Pool Energy Services Co.* 205,813
32,200 Pride Pete Services Inc.* 454,825
13,000 RPC Energy Services Inc.* 134,875
15
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
PETROLEUM SERVICES (CONTINUED)
46,400 Unit Corp.* $ 266,800
12,700 Varco International Inc.* 153,986
------------
1,980,324
------------
PHOTOGRAPHY - 0.6%
13,400 CPI Corp. 214,400
9,600 Optical Coating Lab Inc. 136,800
------------
351,200
------------
PLASTICS - 0.7%
17,450 Tredegar Industries Inc. 403,531
------------
POLLUTION CONTROL - 1.6%
11,800 Emcon* 50,150
4,100 Farr Company* 38,950
7,800 Groundwater Technology Inc.* 103,350
31,800 International Technology Corp.* 75,525
17,500 Mid American Waste Systems Inc.* 30,625
14,500 NSC Corp. 21,750
2,100 Sevenson Environmental Services 33,075
5,400 Smith Environmental Technology* 19,575
16,000 Western Waste Industries* 610,000
------------
983,000
------------
PUBLISHING - 1.7%
3,900 Courier Corp. 91,650
5,100 Crown Books Corp.* 40,800
8,100 Devon Group Inc. New* 230,850
13,200 Interleaf Inc.* 117,150
19,300 National Ed Corp.* 226,775
6,000 Playboy Enterprises Inc.* 60,750
7,400 Plenum Publishing Corp. 271,950
------------
1,039,925
------------
16
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
REAL ESTATE - 0.3%
9,600 FM PPTYS Inc.* $ 24,000
200 Metropolitan Realty Corp. 1,750
3,500 Reading Co.* 37,625
12,600 Taubman Centers Inc.* 124,425
------------
187,800
------------
RETAIL GROCERY - 2.5%
6,800 Dairy Mart Convenience Stores* 44,200
4,600 Delchamps Inc. 97,750
10,600 Marsh Supermarkets Inc. 128,525
2,000 Michaels Foods 21,000
17,400 Nash Finch Co. 291,450
21,800 Riser Foods Inc. 414,200
4,200 Schultz Sav O Stores Inc. 64,050
4,200 Seaway Food Town Inc. 68,250
18,200 Super Food Services Inc. 204,750
19,700 Uni Marts Inc. 164,988
2,300 Village Super Market Inc.* 17,250
------------
1,516,413
------------
RETAIL TRADE - 2.7%
4,100 Barrys Jewelers Inc. New* 15,375
9,300 Cash America International Inc. 49,988
15,600 Eagle Hardware and Groden* 159,900
7,400 Evans Inc.* 9,250
13,579 Genovese Drug Stores Inc. 134,093
13,200 Haverty Furniture Cos Inc. 179,850
3,400 K Tel International Inc.* 11,050
2,300 Mays J W Inc.* 16,675
6,900 Oshmans Sporting Goods Inc.* 69,000
3,700 Pubco Corp.* 23,125
6,600 Rag Shops Inc.* 14,438
5,874 Reeds Jewelers Inc.* 50,663
9,500 Rex Stores Corp.* 131,813
9,400 Sharper Image Corp.* 39,363
11,300 Shoe Carnival Inc.* 48,025
7,200 Sport Chalet Inc.* 16,200
7,400 Sun Television & Appliances 30,525
17
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
RETAIL TRADE (CONTINUED)
5,200 Syms Corp.* $ 42,900
16,800 The Good Guys Inc.* 147,000
7,500 Unifirst Corp. 141,563
6,000 Value City Department Stores Inc.* 58,500
11,300 Wet Seal Inc.* 144,075
------------
1,533,371
------------
ROYALTY TRUSTS - 0.5%
13,400 Inacom Corp.* 229,475
5,200 Burlington Resources Coal Seam Gas 57,200
------------
286,675
------------
SAVINGS & LOAN - 1.0%
1,400 Center Banks Inc. 19,250
1,300 First Franklin Corp. 17,550
1,680 First Mutual Savings Bank Bellevue 26,040
3,000 Home Fed Bancorp 75,375
4,700 Lawrence Savings Bank* 28,200
6,500 Medford Savings Bank 144,625
10,500 Peoples Heritage Financial Group 228,375
4,700 Sunrise Bancorp California* 14,100
4,000 Walden Bancorp Inc. 79,000
------------
632,515
------------
SHIP BUILDING - 0.3%
8,800 Avondale Industrial Inc.* 152,900
2,500 Todd Shipyards Corp.* 18,438
------------
171,338
------------
STEEL - 3.2%
11,700 Amcast Industrial Corp. 207,675
7,300 Castle AM Co. 215,350
6,200 Chaparral Steel Co. 92,225
18,500 Mueller Industries Inc.* 654,438
600 Mueller Paul Co. 18,000
18
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
STEEL (CONTINUED)
2,400 Pitt Desmoines Inc.* $ 108,000
11,400 Quanex Corp. 249,375
8,100 Roanoke Electric Steel Corp. 117,450
11,000 Shiloh Industries Inc.* 136,125
5,500 Varlen Corp. 126,500
------------
1,925,138
------------
TECHNOLOGY - 1.5%
18,000 American Software Inc.* 69,750
11,800 ASA International Ltd.* 25,075
15,525 Boole & Babbage Inc.* 397,828
7,800 Computer Data Systems Inc. 121,388
1,575 Continuum Inc.* 65,559
2,500 Group 1 Software Inc.* 20,000
2,900 Rational Software Corp.* 114,550
5,400 Software Spectrum Inc.* 109,350
------------
923,500
------------
TELECOMMUNICATION SERVICES - 0.6%
6,900 Aydin Corp.* 101,775
8,800 Norstan Inc.* 235,950
1,000 Stanford Telecommunications* 30,000
------------
367,725
------------
TELEPHONE - 0.7%
7,100 ACC Corp.* 210,338
16,750 Pricellular Corp.* 224,031
------------
434,369
------------
TIRES & RUBBER - 0.1%
5,000 O'Sullivan Corp. 55,000
------------
19
SEE NOTES TO PORTFOLIO OF INVESTMENTS.
<PAGE>
SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- -------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
TRANSPORTATION - 0.3%
9,700 Amtran Inc.* $ 113,975
8,000 Defiance Inc. 45,000
------------
158,975
------------
TRUCKING & FREIGHT FORWARDING - 1.2%
3,300 Gulfmark International Inc.* 99,825
17,175 International Shipholding Co. 328,472
8,300 Kysor Industrial Corp. 218,913
2,000 Oglebay Norton Co. 79,250
------------
726,460
------------
UTILITIES - 0.3%
3,000 Consumers Water Co. 53,250
1,000 Dominguez Services Corp. 19,000
3,100 SJW Corp. 121,243
------------
193,493
------------
Total Common Stock (Cost $46,600,495) $ 59,537,973
------------
------------
PAR SHORT TERM OBLIGATIONS - 1.3%
$ 790,000 Repurchase agreement with State Street Bank
dated 3/29/96, due 4/1/96 at 2.0%, collateralized
by U.S. Treasury Bond at 10.75% due 8/15/05,
market value $808,335 (repurchase proceeds
$790,132) 790,000
------------
Total Investments (Cost $47,390,495) $ 60,327,973
------------
------------
Notes to Portfolio of Investments:
(a) Bankrupt security - valued by management (Note 1).
* Non-income producing security.
<PAGE>
ROSENBERG JAPAN SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
SHARES COMMON STOCK - 99.2% VALUE
AUTOMOBILES - 4.7%
3,000 Mitsubishi Motors Corp. $ 25,632
5,000 Nissan Motor Co. 38,701
----------------
64,333
----------------
AUTOPARTS - 2.0%
3,000 Fuji Heavy Industries* 13,405
2,000 Kanto Auto Works 13,480
----------------
26,885
----------------
BANKS - 17.6%
5,000 Asahi Bank 59,827
4,000 Long-Term Credit Bank of Japan 33,428
1,050 Mitsubishi Bank 22,183
3,000 Sakura Bank 34,214
2,000 Sumitomo Bank 40,383
4,000 Tokai Bank 49,731
----------------
239,766
----------------
BUILDING CONSTRUCTION - 1.5%
2,000 Ishihara Construction* 5,852
2,000 Zenitaka Corp. 14,770
----------------
20,622
----------------
CHEMICALS - 1.2%
2,000 Mitsui Petrochem 16,471
----------------
COMPUTERS & BUSNESS EQUIPMENT - 0.8%
1,000 Nihon Unisys 10,750
----------------
SEE NOTES TO PORFOLIO OF INVESTMENTS
1
<PAGE>
ROSENBERG JAPAN SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
CONGLOMERATES - 0.9%
3,000 Kanematsu Corp. $ 12,928
----------------
CONSTRUCTION & MINING EQUIPMENT - 2.6%
2,000 Daito Trust Construction 24,118
2,000 Nittan Valve Co. 10,806
----------------
34,924
----------------
CONSTRUCTION MATERIALS - 0.6%
2,000 Kumagai Gumi Co. 8,264
----------------
CONTAINERS & GLASS - 0.6%
2,000 Central Glass Co.* 8,077
----------------
DRUGS & HEALTH CARE - 1.8%
1,000 Daiichi Pharmaceutical Co. 15,705
1,000 Shionogi & Co. 8,609
----------------
24,314
----------------
ELECTRIC UTILITIES - 3.3%
1,000 Hokkaido Electric Power 22,716
1,000 Kyushu Electric Power 22,716
----------------
45,432
----------------
ELECTRICAL EQUIPMENT - 8.1%
3,000 Fuji Electric Co. 16,322
5,000 Hitachi 48,609
6,000 Mitsubishi Electric Corp. 44,646
----------------
109,577
----------------
SEE NOTES TO PORFOLIO OF INVESTMENTS
2
<PAGE>
ROSENBERG JAPAN SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
ELECTRONICS - 0.7%
1,000 Dainippon Screen $ 9,441
----------------
FINANCIAL SERVICES - 2.2%
2,000 Daiwa Securities 30,474
----------------
FOOD & BEVERAGE - 4.2%
2,000 Izumi Industries 14,396
3,000 Maruha Corp.* 10,657
2,000 Tokuyama Corp. 12,919
2,000 Tokyo Kozosushi Co. 18,696
----------------
56,668
----------------
HOMEBUILDERS - 2.5%
1,000 Hazama Corp. 4,272
1,000 Maeda Corp. 9,909
1,000 Recruit Cosmos Co. 9,815
2,000 Ueki Corp. 9,984
----------------
33,980
----------------
HOUSEHOLD APPLIANCES FURNISHING - 9.6%
5,000 Matsushita Electric Industrial Co. 81,327
4,000 Sanyo Electric Co. 23,931
2,000 Victor Company of Japan 25,427
----------------
130,685
----------------
HOUSEHOLD PRODUCTS - 1.0%
2,000 Sekido Co. 14,302
----------------
SEE NOTES TO PORFOLIO OF INVESTMENTS
3
<PAGE>
ROSENBERG JAPAN SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
INDUSTRIAL MACHINERY - 8.5%
2,000 Aichi Machine Industries $ 11,965
3,000 Ishikawajima - Harima Heavy Industries 14,022
7,000 Mitsubishi Heavy Industries 60,463
1,000 Okura Industrial Company Ltd. 6,871
3,000 Toshiba Corp. 22,772
----------------
116,093
----------------
INSURANCE - 1.7%
2,000 Dowa Fire & Marine 11,031
1,000 Koa Fire & Marine 6,216
----------------
23,435
----------------
INTERNATIONAL OIL - 2.7%
3,000 Cosmo Oil Co. 17,920
3,000 Nippon Oil Co. 19,154
----------------
37,074
----------------
INVESTMENT COMPANIES - 1.6%
4,000 Marubeni Corp. 22,398
----------------
LEISURE TIME - 1.0%
2,000 Toei Co. 13,555
----------------
NON-FERROUS METALS - 1.5%
4,000 Nissho Iwai Corp. 20,416
----------------
SEE NOTES TO PORFOLIO OF INVESTMENTS
4
<PAGE>
ROSENBERG JAPAN SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
PAPER - 2.8%
2,300 Daio Paper Corp. $ 30,315
2,000 Settsu Corp.* 6,861
----------------
37,176
----------------
PETROLEUM SERVICES - 0.9%
1,000 Kamei Corp. 12,152
----------------
PHOTOGRAPHY - 2.1%
1,000 Fuji Photo Film Co. 28,605
----------------
REAL ESTATE - 1.1%
2,000 Sumitomo Realty and Development 15,349
----------------
RETAIL TRADE - 1.4%
2,000 Asanuma Corp. 11,442
1,000 Tokyu Store Chain 7,936
----------------
19,378
----------------
STEEL - 4.9%
2,000 Chubu Steel Plate 10,993
2,000 Noritz Corp. 33,279
7,000 Sumitomo Metal Industries 21,921
----------------
66,193
----------------
TELEPHONE - 1.1%
2 Nippon Telegraph & Telephone Corp. 14,620
----------------
TIRES & RUBBER - 0.7%
2,000 Toyo Tire & Rubber 8,881
----------------
SEE NOTES TO PORFOLIO OF INVESTMENTS
5
<PAGE>
ROSENBERG JAPAN SERIES
PORTFOLIO OF INVESTMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
SHARES COMMON STOCK - CONTINUED VALUE
TRUCKING & FREIGHT - 1.3%
3,000 Nippon Yusen Kabushiki Kaish $ 17,078
----------------
Total Common Stock (Cost $1,259,929) $ 1,350,296
----------------
----------------
PAR SHORT-TERM OBLIGATIONS - 0.8%
U.S. GOVERNMENT - 0.8%
$ 11,000 U.S. Treasury Bills, 4.95% 6/27/96
(Cost $10,875) (a) $ 10,875
----------------
Total Investments (Cost $1,270,804) $ 1,361,171
----------------
----------------
Notes to portfolio of investments:
(a) This security is held as collateral for open
futurescontracts.
* Non-income producing security.
6
